The iPhone provides a unique approach to voice mail because of its visual user interface. You can look at what messages you have, whom they are from, when they were left and whether or not you have listened to them. Unheard messages display blue dots to the left of the caller; after you listen to a message the dot disappears but you are still able to listen to it. While you cannot replace the blue dot, you can organize your messages so that "new" messages are stored in one location and "old" messages in another.
Access the iPhone's voice mail user interface by tapping "Phone" and "Voicemail." By default, you will see the list of new messages, including those you have heard and those you have not.
Tap "Deleted Messages" to view a list of archived messages that you have heard and deleted. The number of deleted messages your phone keeps and for how long it keeps them depends on your wireless carrier.
Tap on any message to move it either to the "Deleted Messages" location or the regular "Voicemail" location. Tap "Delete" or "Undelete" at the bottom of the screen. You can move messages even if you have not listened to them.