Cannot set up standard voicemail (not visual voicemail)

[DeniGee]

When I touch the "voicemail" icon, the phone immediately calls voicemail (Welcome to the Message Management System) and asks for the number I want to use to leave a message.  It states to press the # button if I want to access my own number.  When I press that, it asks for my mailbox number, which I have never set up.  Any suggestions?  Thanks!