Hi catsincarolina
Greetings! I am Vijay, an Independent Advisor. I am here to work with you on this problem.
Best way is to transfer through File Explorer.
Connect your phone > Your phone would appear under This PC
Click that to display phone folders > Navigate to the folder where voice mail is
Select the voice mail files > CTRL+C to copy the files
Go the destination folder on your computer
CTRL+V to paste files into your computer
Do let me know if you have any more question or require further help.