when you go to check your voicemail and enter your password, it will say press 1 to check your messages, 2 to send, 3 for personal options.
Press 3, then from personal options menu, administrative options, then from there i believe its option 7 for callback number prompting. turn the feature ON, and then it should work for you. You may also want to press option 4 (time/date playback) to make sure that is ON as well.
Hope this helps!