Or, you may have ended the voicemail call too quickly when you listened to your last message. If you end the call before the voicemail icon clears, it will hang around till you get another voicemail.
I don't agree with the above postings about an SMS message - yes, a voice mail will generate a text message but it appears as a text, not a voice mail icon. You're saying you have a voice message.
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I think it's more likely related to your voice mail system, not the BlackBerry. Try what one of posts above says: Leave a new message and delete it, and make sure you have no unread voice messages. If that dosnt clear it, have the carrier reset the mailbox. You will then need to reset your password as well.
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Posted from my CrackBerry at wapforums.crackberry.com