As Bednobs has effectively indicated, it's the phone service provider's computer which switches calls to voicemail, not the phone itself. So you need to tell that computer to change its settings (usually by making a special phone call to it); you won't find any settings on the phone itself.
For example, here's what you have to do with Vodafone:
http://help.vodafone....=1000&ARTICLE_ID=2531
Oh, I've just seen that you've posted while I've been typing this. You seem to have misinterpreted Bednobs' question. What we need to know is the name of the phone company who the bill is paid to. (Vodafone? Orange? O2?)
Chris