Here is how to do it:
Go to the phone app (you can do this by pressing the green phone button or by locating the phone icon on your desktop). Once in the phone app, press the menu button and select options.
Now from the list select Voicemail (change voicemail credentials). You should see two areas to enter information. The upper is the actual phone number your BlackBerry calls to check your voicemail (so don't change it!). The second is the password. Just enter your voicemail password here.
Now press the menu button again, select save and you are done!
Test it by holding down the Q or 1 key (you did know you could do that right?)