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This is not an exhaustive walkthrough, but will put you on the right track and the phone system itself will walk you through the details. The Web and desktop clients look basically the same.
Start by opening the settings in Teams. In the Web and desktop client, you’ll find it in the “…” menu to the left of your profile pic (or initials). On mobile, tap on your profile pic or initials.
Then choose “Settings”. In the settings menu, choose “Calls” or “Calling” depending on the version. Lastly, scroll down to “Manage voicemail” and click on “Record a greeting” or “Change voicemail greeting.”
Of course it looks a little different in Mobile, but basically the same flow…