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The first step is installing the Asterisk software - which you can download on their website - on a Linux machine. The easiest way is chosing the preconfigured Asterisk@Home version instead of downloading the whole package which could be a bit tricky to get through all the configurations.

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The second step is to register an IP telephone number with any provider (Skype is not working with Asterisk but there are many free ones) to cooperate with Asterisk and the Linux machine.

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The most challenging thing to do is the next step - to make the dialplan. This is the master plan of control or execution flow for all operations. It controls how incoming and outgoing calls are handled and routed. This is where you have to configure the behaviour of all connections through the PBX.

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The final dialplan code can be found here.
To let the user navigate through the voicemail system, it is necessary to record messages to tell the caller what the options are. The soundfiles could be recorded with a headset and have to be converted from the wave-format into gsm-files (http://sox.sourceforge.net/), what is unfortunately the only sound format Asterisk can use.