Make sure Teams is installed. You can access your phone's app store and searching for Microsoft Teams or by following the instructions from the Microsoft Website.

This video walks through this process:

You can also follow along with the instructions below:

1. Open the Microsoft Teams app
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2. Press the Menu Image Placeholder button in the upper-left corner of the screen:


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3. Select Settings from the list

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4. Select Calling from this menu:

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5. Choose Change Voicemail Greeting option.


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6. Once in the call, you will need to select option #2 to record your greeting. To access the dialpad press the dialpad Image Placeholderbutton at the bottom of the screen:


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Continue to follow the instructions to complete setting up your voicemail greeting.
You can also check your voicemail from the app, using the Calls category in Teams.