In the old days not sure about now you dialed *VM and the voice mail system would walk you through setting it up.
The password is at the time your last four numbers of your cell phone. It then asks you to select a new voicemail password, and the way it will indentfy you to callers. Either they hear your generic greeting of your cell number or you can record a greeting to use. However on an iPhone its done differently https://discussions.apple.com/thread/3983336