You can retrieve and manage your voice mail with Skype Forwarder 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 Skype Forwarder 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 transferred to the saved list.
As well, You can retrieve your voice mail from the telephone. In this case you enter your secret control code to get the operating menu. The choices are:
