Your voicemail number should be set when the phone is activated however is something goes wrong with this number or you just want to change it, here is how you do it:
Select the start button from the home screen
Press 9 for more then Press 1 for Settings
Press 1 for Phone
Press 3 for Call Options
Scroll down with the jog button to Voice mail number and key in your desired number.
Press the done button and then the home key.
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