The first time you log in to your mailbox you are walked through recording your name for the directory and recording your personal greeting.
The name recording is for the dial-by-name directory, so when someone enters the first three letters of your last name, it will play back your name recording.
The greeting plays when your mailbox is reached. It is very important to make a custom message, as many callers will not leave messages at mailboxes that have generic greetings.