Your voicemail needs to be set up. You can get into your mailbox by pressing the button on the phone that looks like an envelope. If you have a touchscreen the envelope icon is on the screen, otherwise it is a physical button:
On phones with physical buttons, press the Select soft key below the screen and then the Connect soft key to access the mailbox.
If the system asks for your password it is your extension number unless you already changed it. If it asks you for a new password set it to something other than your extension number and it will lead you through recording your name and new messages.
You will need to record your name, a busy greeting, and an unavailable greeting. Follow the prompts to review each recording so you can make changes if you like. If you make a mistake, you can always hang up and redial to get back to the start of the menu.
If you don't love having to check your voicemail, it is now an option to get the audio emailed to you. Please open a support ticket if you would like this enabled. Regardless, you should still record a greeting.