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As it happens, I pressed "1" to access my voice mail and found that my operator (TDC in DK) had not set the voice mail number. I added "+45" (prefix for DK) and started looking for the number. As I couldn't find it, I just pressed "OK" with the intention to enter the correct number later.
But... now I have the correct number and the menu item where the number should be changed is greyed out and I cannot change the number.
It could be some sort of network lock (I guess), but my phone is not SIM locked or anything similar.
I just hoped that there was some way around this, so I would not have to involve the second-line support of TDC - first-line support does not know what to do...