How do I set up the different voice mailboxes and record messages for each mailbox?

First of all, not all mailboxes are associated with an extension. Only the first 6 or 12 (depending on which VoicePro you have) are real extensions where you can connect phones. All the rest are "greeting-only" mailboxes. Also known as "broadcast" mailboxes.

You can change the broadcast mailboxes to full-featured voice mail on any of the additional mailboxes up to mailbox 99 by changing its password to a 4-digit code that starts with a numeric. 

Broadcast mailboxes have a password that starts with a * and defaults to "**99". All the mailboxes beyond the physical extensions are broadcast mailboxes by default.

The physical extensions have mailboxes that are full-featured by default.

"Greeting only" mailboxes differ from full-featured mailboxes in the following way. They do not allow a caller to leave a voicemail message. After the greeting the caller is returned to the system main greeting and they can select other menu options.