It's a function of the phone system, usually. If the system running the voicemail does not support that function, you will not be able to do it... well, without say sticking a microphone up to your earpiece on your phone.
if you had viop i bet theres a easy way to get it to work. Sounds like (depending if you have digital phone at home) you could get a calling card and call your home phone and check voicemail. thats a function of some land line phone companies.