You can retrieve and manage your voice mail from Phone Server from here. There are 2 lists here, new voice mail and saved voice mail. Each list has a "Play" and "Delete" selected voice mail option, and the list of new voice mails has the additional option to "Save". If you use an old fashioned phone to call the Phone Server to retrieve your voice mail, once you have listened to new voice mail it is automatically deleted unless you specifically ask it to be saved. In this case it's transfered to the saved list.
You can create and manage your voice mail password for the Phone Server from here. This is in case you wish to actaully call the Phone Server to access you voice mail instead of managing it over the internet You can only set the password from this software. If you have not set the password you will not be able to retrieve your voice mail if you call in using an old fashioned phone.