Not sure where they are stored, but I get them by going to the voicemail itself. Hit forward, and use an email address instead of phone number. It'll come to your email as an audio file.

 

I believe VM are stored on Sprint servers in your account. I son't think there's a way to retrieve VM from your account online but you can access it using another phone.

 

scorp dx just told us all one way.

you can also turn on voice recorder prior to checking it and then save the recorded...um...recording lol