Congrats on your 1st iPhone, Johnnyharps! I can help you setup of your voicemail. The instructions you received are correct and should allow you to setup your voicemail box.
1. Select "Phone"
2. Select "Voicemail"
3. If your voicemail was never setup it should say "Setup".
4. Select "Setup"
5. You enter the voicemail password of your choice. (If your voicemail has not been previously setup)
Let me know if you need additional assistance. Have a great weekend.
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