I am assuming you are talking about the voicemail app and not standard 'voice' voicemail. So, going by that, it usually won't show as a new mail on the mail screen. If you go into the apps settings, you should be able to see where your phone has saved them (the location) and then access them. Since the location can be changed, I can't give you an exact one.
Also, do note that they won't be saved forever. It is usually for a max of 30 days. So if you want to keep something longer, you have to save it somewhere off the phone.