I am Samuel and I will help you today.
What do you mean by unlocking the phone please?
I had the same problem. It means that you got one of those automatic emergency alerts (Amber alert or such). They don`t show up in your regular messages (at least it didn`t on mine), you have to click on the button with the envelope on it, then I guess if you read it, it should clear the icon.
I am sorry I miss understood you.
The phone is telling you that the voicemail is not set up, Press and hold the 1 key to call your voice mail and follow the set up directions.
When you press and hold the #1 key it calls voicemail and it should walk you through the set up. You can always call me and I can walk you through it also.