You can have the Messages gadget playback your messages to your phone or to your computer. The setting used is part of your currently active profiles voicemail options.
•If using Internet Explorer, check that the option Play sound in webpages is enabled (Tools | Internet Options | Advanced | Multimedia).
•To playback on PC, you may need to accept the security certificate being used by the voicemail server. Enter https://<voicemail_server_address>:5443/ in your browser and accept the certificate exception.