Trying to access voicemail and getting message phone number not recognized

I have a new IPhone 4S and when trying to set up voicemail I get the following message: "Sorry, (phone number) is not a recognized mailbox, 102, Goodbye". Is anyone else having this problem. I took it to the Sprint store who took off everything on the phone and reset it through the Settings. I have also turned the phone off and back on again. Still not working. This is my first IPhone. This number worked fine on my old Blackberry through Sprint. Sprint says it is an Apple issue. HELP!!!