1) The voice messages are stored under /sdccard/tencent/MicroMsg/[akskjdkdkdjdkdkdajhueiieuiuowpq]/voice2. Each voice message has its own folder and is an amr file. Copy these *.amr files from your phone to your PC.
2) Download "wechat_silk" utility from here and extract the "wechat_silk.exe" file onto your computer. Drag the amr files and drop them onto "wechat_silk.exe". You'll get *.wav files on your desktop.
Now you can play these messages on your PC.
Optionally, you may convert and combine the wav files into a single MP3 file:
3) Go to a wav-to-mp3 site such as this to convert wav files to MP3 files.
4) Go to a MP3-combine site such as this and you'll finally have all your wechat voice messages in one MP3 file.