You can easily set up your voicemail in any of the Microsoft Teams apps (desktop or mobile), as well as in the web interface (https://teams.microsoft.com). Follow this guide to set up your voicemail in the desktop app. You can download the apps here if you don’t have them already: https://www.microsoft.com/en-us/microsoft-365/microsoft-teams/download-app
A new window will open with a dialpad. The automated voice will prompt you to select option 2 to record your greeting. Follow the prompts to record your greeting. The default greeting is what callers will hear if you don’t answer your phone. You can also optionally record a second Away greeting that callers will hear if you’re set to Away in Teams.