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Hi there Carol and welcome
I am really sorry about this, but there is no way sorry. The reason is that the message was never on the phone, but only on AT&T's system, so there is no way to retrieve it.
I really wish there was better news, but I can only tell you the reality of the situation sorry.
If you would like any additional information or assistance, please do not hesitate to let me know.
And if you can take a second to rate my service by clicking one of the stars at the top of the screen then submit, that would be greatly appreciated.