Not all Apple information is found on this website. Always give Google a shot, it's easy to forget that when you come here for everything else.
http://support.apple.com/kb/HT1486
Though questions like this are the reason it's incredibly hard to speak to a real customer service person when you actually need to, I can't help but think the more people ask easy questions on the forums, the more people and activity it attracts, and the more likely those who really need help are to get it.
go to "phone" then go to "voicemail" it should ask you to set it up. if not click "greeting" up top and you should be able to set it up.
AT&T did not setup your voicemail correctly on your account. Call them and have them redo it.
I did and they referred me to Apple Support, but 30+ minutes later on hold I got ****** and hung up. I have a 0900 appt. tomorrow at the Apple Store to have them look at it...
Ha! Figures...
He probably clicked on voicemail and then on setup and set the voicemail up
I'm having a similar problem. When I click the voicemail or press and hold the 1 key nothing happens. I'm going to call my local AT&T store and see if they can help.
When I did that they were unable to resolve my problem. I had to take it in to my local Apple Store and they reset it for me, been good ever since.