Setting up voicemail for the first time.

Trying to setup my new Iphone voicemail for the first time. Went to phone then voicemail where it says 'To retrieve a voicemail first set a password and greeting' with SETUP button. I put in my 4 digit password which then asks to re-enter password which I do. It responds with 'Voicemail Unavailable. Could not authorize access.' How do I setup my voicemail from here? Thanks.