Call your voicemail number and press the star * key during the automated attendant's generic greeting. It is a short greeting, so press the star * key as soon as you hear the woman's voice.
This will prompt the attendant to ask you for a passcode, enter the 4 digit passcode you were given.
The tutorial will then start and the attendant will walk you through setting-up your voicemail. You will do a new passcode, a new greeting, and a new name. It is important to follow the tutorial all the way to the end, otherwise it will not save the changes you made.
If at a later time you ever need to change your greeting, passcode or name you can go into User Options.