This may also occur with Office 2010 also. Check to see if you have any document management software installed that adds shell extensions. The last case with this issue I saw was using something called Lotus Document Manager 6.5.1. We uninstalled that from Add or Remove Programs (Windows XP SP3) and the issue went away.
You would click on the Save or Open commands under the File tab in Visio 2010. As soon as you clicked on Save or Open the application just exited without warning. No crash, events in Event Viewer, nothing.
How we discovered this was caused by Lotus Document Manager…I was extracting Process Monitor to see what’s happening with the file system and registry during the time you click on Save/Open, it opened the ZIP file with WinZip. When I clicked Extract I was prompted with a Document Neighborhood window that I’ve never seen before. I was pretty sure it wasn’t native to Windows OS or Visio. So I checked with the user and they mentioned they had this for Domino documents. The only 2010 application on the machine was Visio 2010, Office was 2007 and it didn’t happen with any apps that came with Office 2007.