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If you are talking about a call and your busy at the time, press the Red button and it will send the call to voicemail.
If you want to permanently send any calls from a specific number to voicemail use either Call Blocker or Extreme Call Blocker both available on the Android Market Place.
go into your contacts and select the contact that you want to send directly to voicemail. click on edit and scroll down to where it says additional info. expand that and at the bottom of the screen is the option to send directly to voicemail.