When you're abroad and you call your voicemail on 121 (on networks where short codes work) or +44 7836 121121, the system will ask you to enter your security PIN. 

Once you have used your security PIN to access your voicemail, it will then work normally.

You will not be able to set a security PIN once you are abroad. You must do this before you travel. It only  needs to be done once; not before every trip. You can do this by calling 121. Then select 4, then 2 - and follow the instructions. 

If you are already abroad and haven’t set a security PIN, you will not be able to set up your this until you are in the UK.