Gmail has added a new feature in Labs that is the Google Voice Player through which you can listen to your voice mails directly inside gmail. Earlier, when you clicked “play message”, it opened a new page to play the message, but now it’ll play on the same page.
To enable this feature, Go to Labs link in Gmail and look for “Google Voice Plyer” and click the “enable” radio button and save the changes. Now, whenever anyone sends you a voicemail, you’ll recieve a message in Gmail and you can play it directly inside the gmail. If you are voicemail user, then you should turn this feature on as it can be very useful to you.