Are you using a CallPilot, Flash, or NAM ?
If a CallPilot, try checking the "Express Message Line" option.
From the CallPilot help:
When you create a Subscriber Mailbox, you can assign an Express Messaging Line to it if the subscriber wants to have fax and voice calls go to their Subscriber Mailbox without ringing at their extension. Callers hears the mailbox greeting and can leave voice and fax messages.