They will show up on the "phone" icon at the bottom of the screen. You'll see a "1" over the Phone icon. Press that icon and you'll see 5 choices again at the bottom of the screen. A "1" will appear (or however many unheard voicemails are there) over the voicemail icon. A recently missed call will be shown over the "recent calls" icon.
They will also show up in the notification bar, too. And you can set up a "banner" to appear on the lock screen to notify you of voicemails, messages, and missed calls. These are set up in, well, settings, under notifications.
Lotsa ways to get notified there...

Geri O