When you receive a new voicemail, you'll see two things: a notification that briefly appears at the top of Start, and a new voicemail icon on the Phone Tile along with the number of new missed calls. But if you resize the Tile and go large with it, you'll see more handy info—including who called and when.

Note:
Depending on your mobile operator, you might receive a text message to notify you about a new voicemail.