Here ya go, try this . Most RadioShacks have it in what they jokingly refer to as the "Divorce Kit" section, with the other various telephone recorders, high-sensitivity listening devices, digital camera binoculars, etc.
You'll need an earpiece to plug into this in order to traverse your voice mail system's menu. I suggest using your phone's "mute" function to prevent sounds around you from echoing back off the network so you get a clean recording.
Plug this into the microphone jack on your computer and use your favorite audio recording software to capture a permanent record. I'd SAVE the items in your voicemail box until you're sure you've captured everything and are satisfied with the quality.
Then do like every other RadioShack customer does: take it back when you're done. After all, it's likely the device you're buying has been rented dozens of times before, returned as soon as "she moved out" or "the papers were finalized."