For all service providers, on your iPhone dial "1" then call to access your own phone number's voicemail. Sometimes calling the phone's number will work but not the "1".
This gives an audio menu that allows you to set up the voicemail.
You'll need to enter a numerical password at the promptings and disconnect from the menu the first time.
Then you can go back to the iphone visual voicemail screen on the phone app and enter that same password there. That completes the set up and voicemail will be working.