Well first, make sure your carrier allows Visual Voicemail. If so, call them and ask them to enable it for your phone numbers, or else it probably won't work.
Then set up your Visual Voicemail in the phone settings (then you'll get the Voicemail pivot menu), I used 3G Data instead of Wifi because it wouldn't work for some reason, so make sure you have good signal regardless.
I'm not sure about the error, if it's still there after trying to set it up then try searching the web with that error. Odds are its probably happened before.