Voicemail? Yes.
You can record a new voicemail greeting by dialing the voicemail # (999 for a 3 digit system) from the extension. Then follow the prompts. It will be saved for you.
You can record a file on windows (we recommend audacity for all audio files and music on hold) and upload it to the server manually (not through the 3cx admin interface)
If you mean digital assistants, ring group prompts or music on hold files then you record these as wav files (again Audacity is best) and then upload them through the 3cx admin interface.