If you have forwarded incoming calls to your voice mailbox, you can call it and listen to the messages your friends have left.
Depending on your network service provider and current data plan, you may be able to set up visual voicemail, which lets you see your voicemail messages in a list and play them on your phone. For more info, contact your network service provider.
To switch on visual voicemail, tap the phone icon, tap ... > settings, and switch Visual voicemail to On.
To listen to your voicemail messages, tap the phone icon, swipe to voicemail, and tap a message.
Note: This feature can vary depending of the chosen customization, this means that all Lumia phones with Windows Phone 8 do not have Visual voicemail in the menu view.