If you haven't you must add Visual Voicemail (Visual Voice Mail - Verizon Wireless) to your plan; $2.99/month. VZW is just about the only carrier that still charges for visual voicemail; greedy SOBs.
Once you added Visual Voicemail to your plan download their crappy app; http://www.windowsphone.com/en-us/store/app/voicemail/acfd7f8c-c98c-428e-91dd-5f59b9e3d964
Do you use visual voice mail or basic voice mail? I know that visual will let you see a list of unheard VMs. Basic, as I have always used it, requires you to call your VM box to find this out.