Probably hold button 1 on the keypad. Should say "Calling Voicemail" and then it should lead you through how to record a greeting. You might need to activate Voicemail on your phone first; the no. to do this should show up in the instruction manual or the phone's contact book.
Sorry I should have made myself more clear - how do I record a message that has been left on my voicemail other than a dictaphone .. any suggestions ??
I should really try to get my points across in one post... anyhow, on my phone (Sony Ericsson), there is a "record" option if you click on "more" during a phone call.
The only restriction on recordings is that the person calling KNOWS they are being recorded. Which is why when you ring call centres they advise you of that as in 'Please be aware this call may be recorded for training purposes'