In order to change the voicemail password/PIN, Visual Voicemail has to be activated first.     
 
For iOS devices:  
Go to Settings.  
Click on Phone.  
Click ‘Change Voicemail Password’.  
Enter a new 4–7-digit password/PIN.
Re-enter the new password/PIN.  
 

For Android devices:
Open the phone app.
Select the three dots in the right upper-hand corner. 
Click Settings.
Select Voicemail.
Change PIN.
Confirm old voicemail password/PIN and confirm.
Enter a new 4–7-digit password/PIN.
Re-enter the new password/PIN and confirm.