@VeraK -- after listening to a new message, did you press "9" to save the message (for a few weeks?).
If so, after hearing "no new messages", do you hear "press 1 to listen to your saved messages" ? While listening to a saved message, press "7" to permanently delete that message.
Or, logon to the My Shaw Portal, and you can listen to, and delete, your voice-mail messages.