Do you mean, "You've reached so and so I can't answer my phone right now"...? You have to update that through you voicemail box. Call your mailbox and wait for the options menu.
Your "answering machine message" is configured through your regular voice mail and is not directly connected to your Curve. I'm sure if you call your carrier (AT&T) they will have someone who is able to help you through the steps required to set it up.