To configure your security settings (set a PIN), call 901 from your phone
Press the * (star) key
From the menu options, select option '4'.
From the sub-menu options, select 4
Follow the prompts to complete the change.
Here's a comprehensive guide to all things 'voicemail': https://community.o2.co.uk/t5/How-to-Guides/All-you-need-to-know-about-O2-Voicemail-901/ba-p/547712
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