There are a couple of ways to view your voicemails:
Method 1 - Through Skype for Business
You can access your voicemails by browsing to the Dialpad in Skype and holding your cursor on #1, voicemail will automatically open in a call window for you.
Method 2 - Through Outlook
If you navigate your folders in Outlook down the left-hand side of the client, look for a folder named Search Folders. If you expand this folder by clicking the > button and a list of folders including Missed calls, Missed Conversations and Voicemail are displayed. All voicemails are displayed with a transcription of the audio file, as well as an embedded player in the email so you can listen to the voicemail.