One way to do this would be to create a contact for your carrier's voicemail number, including your PIN (separated from the voicemail number by a pause symbol -- typically either a # or the letter p). Then add a Direct Dial widget to your homescreen, and choose this voicemail contact to be the number it dials.
If you're not sure what the voicemail number is, open the Phone app, tap Menu>Settings>Call Settings>Voicemail. The number should be listed there.