>Yup, there is a setup that need to be done. If I use my regular phone, as soon as the voice mail kicks in, I can type 3, then I have the message that says do you want to save. If I do the same from the modem, it is not sent as is as the cell phone voice mail says "We haven't received any message, blah, blah...".

OK. Look in your manual for something along the lines of Voice Line Selection or something similar. You do have a voice capable modem there, right?