Yes, you would have to shut the phone off & dial the * when you get into the VM to get to the setup prompt.
Thanks, but I tried that already and the automated voice prompt says the "...person I'm trying to reach does not have the mailbox feature set up yet." I'm on a mini business trip & my phone is in the U.S. because I don't have the international coverage. When I was trying to check my messages from a friends phone I accidently reset the voicemail passcode. Now I'm trying to set it up from the land line in the hotel and I can't I called my number, it went straight to automated person, and then it disconnected on me after it said the message.
Here is a link to the VM setup directions. Voicemail | AT&T wireless services And this goes into details from a Landline: Support | AT&T