You can do followings things..
1. Install Windows SharePoint Services Support from the Office installation media. It is listed under Office Tools.
2. Add following registry keys:
[HKEY_CLASSES_ROOT\.vsd] <br />@="Visio.Drawing.11" <br />"Content Type"="application/vnd.visio" <br />"SoftGridSource"="{9C0394B8-E606-49C1-BF51-3DB13E127A77}"
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<p>[HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\App <br />Paths\visio.exe] <br />@="\"C:\Program Files\Softricity\SoftGrid for Windows Desktops\sfttray.exe\" <br />/launch \"Microsoft Visio 2003 1.0"" <br />"UseUrl"="1" <br />"SaveUrl"="1"
Alternatively, you could add a short-cut to IE into the Visio package and launch the SharePoint site from IE that has been launched within the virtual environment.