First, make sure that the Message lights actually work. They were kind of a problem on the MLS series sets. At an extension, press Feature-09-XX (where XX is the extension number of the set that you are at), and see if the light comes on. Feature-10-XX to turn it back off. Otherwise, you're looking at other issues with the voice mail.

To program a "messages" button on a phone through centralized telephone programming, first it's Feature-00, Left Intercom Twice, Right Intercom Once, then the extension number of the phone you want to program, press the button to be programmed, Left Intercom button, 777. Now it's pick another button to program on the same extension, or Right Intercom to get back to Centralized Programming, and then another extension number, or Left Intercom button to get back to System Programming, or Feature 00 to quit.