Open the address book and get into editing the entry you want to be
able to voice dial.

Scroll down to "Voice Name"

Press "Record"

The screen will read "Press Voice Key then say name".  The Voice Key
is the single button on the right side of the phone with the  c))
looking symbol on it.

Press it and say whatever you want to dial that entry.
Look at the screen.  It will either tell you to repeat, say it slower
or louder.  If you don't do it soon enough it will also fail.  Once
you say it a second time successfully, you're done.

If that doesn't work for you, I don't imagine what else could be going
wrong.

Tip: You need to say the name twice.  I think this is supposed to give
the phone better accuracy in recognizing the name.  The first time you
say the name will be the recording the phone plays back for its
confirmation... when you voice dial, the phone repeats back this
recording and waits a split second to allow you to cancel it if it
picked the wrong entry.  

Alternatively, these two recordings do not have to be the same.  For
instance, you can have an entry for the president.  The first
recording you might say "The President".  The second recording you
might say "dubbaya".  Now when you voice dial you can say either "The
President" or "W" and both will dial the same entry.

Examples:
1) George At Home    2) The White House
1) Barbara Bush        2) Mommy
1) Batman        2) Bruce Wayne
1) Sudam        2) Spider Hole
1) Domino's        2) Pizza
1) 911            2) sounds of choking on a peanut

You get the idea.