How to remove voicemail icon?

Here is the story:

I have unlocked the samsung behold so I can use it for my at&t service.  I am having couple of problems:

1.  My voicemail icon does not go away.  My voice box is empty.  i have tried leaving a voice message from another phone and deleting it.  It is still there.  I have turned off my phone and taken the battery out.  The icon is still there.

2.  Everytime i get a voicemail i get this blank text message.

Please help me.

DragonStalker,

For system set up, shouldn't I call T-mobile instead of at&t because I am using their phone.  If not, then how should I explain to at&t w/o telling them I am using an at&t phone.

Thanks for all the response you guys!