Find your Call Forward No Answer options in the Superkey menu and set them to the VM extension is all that is needed in most cases, the CFNA options may be buried a few options deep in Forward sub menus and there maybe more than one (Internal and External maybe separate).
If you can't find those options, contact your system admin, they will need to turn them on or apply a Call Reroute to your set, which is done via the system administration tool and not from the phone itself.
