To setup your personal voice mail, browse to the Dial Pad on the Skype for Business Client.
Press and Hold 1 until a new call is created.
Follow the voice prompts to setup your personal greeting.
Email notification of voicemail is a huge advantage.
Voice mails are sent as email attachments so you don’t have to do this to listen to voice mails. Because they are just WAV files, you can forward the email with the attachment to others if they need to hear the message.