"To play the message, press 1.
To pleay all messages, press 11.
To delete the message, press 76.
To save and play next, press 3.
..."

Unless you memorize all the commands, you need to listen to this menu every time you call your voicemail.
And another menu when you call your bank, And another one...

Why not let your Treo handle this for you ?

With 2dial, you can define a "profile" for every number of an IVR system you call.

You can have 2dial popup automatically when the IVR answers, and show you a screen of 12 buttons. You can assign each button to a command, and pre-program it with a name, an icon, and the digit sequence needed to execute the command.

This way - all you need to do is tap the button (or select it using the 5way navigator) to play, delete, save etc.

As a side bonus, 2dial can also turn on SpeakerPhone when the call is answered.

You can get your copy of 2dial here.