I had this same problem and had to talk to tech support three times. In trying to get visual voice working they wiped our all of my voicemail. On the third call the tech got all the problems worked out. As I look back I do not think visual voicemail was worth the effort. I thought I would be able to read my voicemails but all that is visible is information as to who the voicemail is from.
The visual voicemail feature needs to be added on your account through customer service or your T-Mobile.com account. The feature is free, but if it is not on your account, you will not be able to use visual voicemail. If you have verified the feature has been added, check out Error: 'Visual Voicemail is Full' or cannot access Visual Voicemail: Android. Here you will find step to help work towards resolving your issue.