Can't set up voicemail on my iphone x

I have been trying to set up voicemail on my iPhone X and can't seem to do it. Is there a trick. I click on the phone app and then the voicemail symbol. It only allows me to call voicemail, which I do. I am prompted to enter my phone number. The response is that there is not such a mailbox. It then says enter the phone number which I do again. And I get the same response. It is an endless loop. I know I must be doing something wrong but can't figure it out. HELP !!