To download voicemails from Android, you'll first need to open your voicemail app. This might be a built-in app or one provided by your carrier. Once you're in, you'll see a list of all your voicemails, and from there, you can select the ones you want to save.
Next, you'll need to connect your phone to your computer using a USB cable. This will allow you to transfer your voicemails to your computer for safekeeping. Make sure you have the right software installed on your computer, like Android File Transfer or Samsung Kies.