In another thread mrj702 was able to change the Auto Attendant prompt, so he has the System Administrator's mailbox password.
Since your employee "set up his own password for his voicemail", you just need to log into the SA mailbox, 9 for programming, 2 for extensions, dial the extension number and #, then 3 to erase the current password. Then log into the former employee's mailbox using # as the password, set a new one, and you will be able to retrieve the messages.