Depending on what phone you have and if it has a headphone socket. You would need a cable from the headphone socket on the phone to the line-in/microphone socket on the soundcard.
Then sound recording software.
Enable 'record' access your voicemail on mobile. Then click stop. at the end of the message.
I haven't tried it but Its a cheap work around.
OR if your phone has a sound recorder you maybe able to use that to record Voicemail and then transfer the recording to PC.
Something like this would be required.
I'm sure theres software out there too.