There are two ways to check your voicemail:
1. Email:
Voicemails will be delivered to you as an email, containing a text transcription of the message and an audio attachment that can be played over your PC or smartphone speakers.
2. Phone:
Dial your extension and let it ring. After a few rings a voice will ask you for your code, which should be 12 + your extension, i.e. 123456.