You're trying to get a voice message (that someone left you on your voicemail) from the iPhone to your PC? I don't think that's an officially supported feature, unfortunately.
When I still had a jailbreak, I also used to save my VMs by sending them to myself via email through a little iOS extension.
That being said, I just recently looked into this again because I'm going to switch SIM cards soon which usually deletes any previously saved VMs. I ended up just using the trial version of "Backuptrans iPhone Data Transfer" which can find and download the VMs to your PC without the need for a jailbreak by just plugging the iPhone into your computer. In the trial version it only downloads 3 VMs at a time, so you might have to do the download process multiple times. And it's probably best to uninstall that software right after using it.
Edit: If you're talking about voice memos (that you recorded yourself using the built-in app), you have to plug your phone into the computer, open iTunes, click on your iPhone, go to Music and activate the checkbox for "Include voice memos". Then you start a sync. Afterwards, you should find a new playlist called "voice memos" in your iTunes library.