Something weird is going on with my phones.

I'm working with AOL and a dial-up modem connection to IE. Something new and strange is happening in my computer. Used to be that when a phone call came while the computer is on line they get a busy signal.
Now people are claiming to have left messages when I've not received any. Friends tell me my answer machine has a different message. So, I called my phone with a cell phone while the computer was on line and the phone rang altho not in the house. Then a female sounding mechanical voice said "You've reached 631...at the tone leave a message."
Fine, but where's the message?? There's no indication that a message came in and there's no way to retrieve the message. I don't have voice mail on the phone, I checked with the phone company, I disconnected my phone answer machine/fax/copier to isolate the computer and that's where it's coming from. AOL tech said that AOL does not have voice mail and I should check my phone line connections (?). I have not subscribed to any extra services to receive phone calls while on the computer and anyway I have no way of knowing if any calls come in while I'm on the computer until someone tells me
they called and left a message.
What do I do now? Should I call - Microsoft, Dell? Would it help if I changed server to earthlink or juno or something like that?

Maybe I should tell everyone I know that if they call and get a mechanical answer they should ignore it and call again.

I'm thinking maybe I'll go back to my fountain pen with the rubber bladder filled with ink