Welcome to Android Central! Do you mean that you're not getting a notification in the status bar? Is your voicemail properly set up? Open the Phone app, tap More>Settings>Call Settings>Voicemail, and make sure it's set up correctly.
Not positive this is what your asking but if you're on Verizon, open apps and look for the Verizon box of apps and add from there. If you're not on Verizon or it's not what you mean, then sorry for wasting your time