You'll need a PIN so you can access your messages from phones other than your own. Choose a remote access pin that's easy for you to remember. Just dial 1571 and follow the simple instructions to set/change your PIN.
If you hear an error message when dialling 1571, you will need to access your voicemails on the BT Cloud Voice Portal. You need a Voice Portal PIN to do this, and as a security measure, you need to re-set your PIN again when you next log into the Voice Portal.