Here’s a general guide to do so:
No matter which provider you have, open your phone keyboard and hold down the 1 button.
When requested, enter the temporary password which is normally, the last four digits of your phone number.
At this point you’ll just have to follow the instructions to set up a new password and record your name and a personal greeting, or if you fancy so, you can simply leave your provider default greeting message.
Remember that each provider has a different voice mail dial number, check yours and dial it anytime you receive a message or a message notification.