Did you properly setup your voicemail on this device? If so, have you called into your own number to see if you can access your voicemails that way? If your voicemails are accessible via calling in, but your visual voicemail is not working on your phone, it is possible that there is an issue with the device.
One other thing, have you recently switched carriers with this same phone? Some carriers, at least in the past, didn't support visual voicemail.