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Add either your phone number or voice mail (if different) as a contact in your address book. For simplicity, I would recommend naming it voice mail.
Go back to your home screen by pressing the Home button.
Press anywhere on the screen for 2-3 seconds.
You will see a pop-up window something like this with several options
Scroll to and select the direct dial shortcut option.
You will be taken to your address book. Select the new voice mail contact you just created.
Your direct dial icon should now be on your home screen.