Hi, not sure to understand your question but, anyway:
To my knowledge, you don't need to do any particular setting (and certainly not in your mail client). You receive the voicemail mail alert to the email address specified in your Voxalot account.
If you have a basic (free) account like me, the wav file is a fake. I think you have to upgrade to a VoxLite (at least) account to receive a real wav file with recorded voicemail.
I was also interested in this feature but never received a real wav file. I think this is simply a mistake on
Voxalot Products & Services for Consumers - Voxalot FAQ which specifies the wav file for basic account.
If someone managed to get a real/readable wav file with a basic account, I'll be very interested to know about it as well!