This article describes how to change the voicemail password.
INSTRUCTIONS & INFO
To change your voicemail password, you must know your current voicemail password. Note: If you have forgotten your existing voicemail password, you will not be able to access Voicemail until you reset your voicemail password.
From the Start screen, tap the Phone tile.
Tap the Keypad icon.
Touch and hold 1 to dial voicemail.
Press and hold 1 (enter current voicemail password if prompted)
If you have unheard messages, press * to get to the Main Menu.