You can listen to and download your voice messages from the Calling User Portal. When you have a voice message waiting for you, you'll see a red badge counter (Message Waiting Indicator) next to the Voicemail tab in the portal.
Go to https://settings.webex.com and select Webex Calling.
From the Calling User Portal, click Voicemail.
Expand the message you want to play.
Choose to Play, Mark as Played, or Download.
To delete a message, click the Trash icon next to the message you'd like to delete.