The commercial itself is served from a central server and the ad agency pays a few dollarcents per 'broadcast' commercial, more if people listen to the whole commercial and a % of the sale if a transaction is made.

You can select yourself which companies/products you like and don't like to be advertised on your answering machine. You don't want your friends to listen to bad commercials for bad products. If the caller knows that you have selected the commercial yourself they will listen more carefully to it than to a radiocommercial. And advertisers pay more for such a commercial. A sort of automated worth of mouth system.