Before you can access the voicemail directory from the main menu (AutoAttendant or IVR), you must assign a key press to the voicemail system (it's option 6 by default) or you must create an extension that forwards to the voicemail system (you cannot dial the voicemail system directly for security purposes).
Click on AutoAnswer --> edit call menu
In the lower right-hand corner under Add New Keypress, choose a digit from the drop-down
Choose Check-voicemail from the Go to: drop-down
Click Apply All Changes
When you call your main phone number and reach the AutoAttendant, press the button you just configured in order to access the voicemail system.