Why does my iphone 4 require a new voicemail password every time I switch off my pho

Hi
has anybody a clue as to why every time I close the "phone" app, or turn my phone off, when switched back on a red dot appears on the top right corrner of the phone symbol?
I have no "waiting" voice messages on my (UK)O2 account, which I have checked via a land-line.
when I open the phone app it takes me to the voicemail set-up screen, where I am requested to provide a pass code and select a defult greeting or record one.
Once this is provided, I can see that there is no voice mail waiting .
the pass code I am using is the same as the one I have set-up in the general settings menu.
I am enjoying every thing else about my new phone except for this little problem, help please

What sort of tarif are you on? All O2 iPhone tarifs have Visual Voicemail included.

Visual voicemail doesn't require the passcode setting up.

I'd start by removing the passcode. Then Reset your network settings and hard reset your phone. Then try again.