If your iPhone wireless carrier supports visual voicemail:
1. Navigate to Settings -> Phone -> Change Voicemail Password
2. Enter your current password
3. Enter the new password
For iPhones on the AT&T network, if you are prompted for your visual voicemail password and you can't remember what it is:
1. Press the ? button in the password field and an option to call AT&T for help will appear.
2. Follow the menu prompts to reset your visual voicemail password.