Navigate to www.gavoicemail.com and enter your login credentials.
The start page is your Voicemail Inbox. From here you can listen to your messages and see a transcription (if enabled). You do not need a separate application to play messages from your Online Inbox.
If you have email notifications enabled with the option to receive an attachment, the email will include the voicemail as a .wav file or .mp3 file, depending on your settings. You will need some sort of media player to play the voicemail from your email Inbox.