What is this called? Is it a voicemail?

Okay, I've been thinking about this for a long time & I just can't get it straight. I can't think right now.. Lol. But okay I was wondering, u know that thing where like when u call people, and they don't pick up & theres that little thingy of them talking? What's that called? Like, If i called somebody & they didn't pick up, it would be like, " Hey, this is blah blah blah. I'm not here right so leave a message.! Bye. " Or like something like that? Yeah, whats that called? Is it called a voicemail? I thought it was called that, but then isn't a voicemail the message that they get when they like look at their phone? I'm so confused. Please help! Thanks.