Recently, a colleague sent me a Visio file and informed me that I should be able to view it in IE. So I double clicked on it and sure enough, IE opened and warned me that "To Help protect your security, Internet Explorer has restricted this webpage from running scripts or ActiveX controls that could access your computer. Click here for options." so I did and I clicked on "Allow blocked content".
Instead of seeing the document, I was presented with a small red x, like that of a broken image. Undaunted, I thought that perhaps there is a Visio Viewer, rather like the Word and Powerpoint Viewers you can download, that would let me view Visio files, but not create them. Sure enough I found the Visio 2007 Viewer on Microsoft's site, downloaded it and installed it.
.vsd files were still associated with IE, and the results were the same. So I tracked down the Visio Viewer application in C:\Program Files (x86)\Microsoft Office\Office12; and double clicked it. "This Program can only run from within another program." Great. So, I checked the security settings in IE, and went to Manage Add-ons to see if the Visio Viewer was disabled or blocked, but it didn't even appear in the list.
With a little help from Google, I discovered that the solution was to uninstall a security update "Cumulative Security Update for ActiveX Killbits for Windows 'Your Version of Windows Here' (KB973525)"
The link to the update is here: http://go.microsoft.com/fwlink/?LinkId=158202. It appears that Microsoft in it's infinite wisdom accidentally put the Visio Viewer's CLSID in the kill list. Uninstalling this update, resolved the issue and I can now open Visio documents in IE.