This solution worked for me using manual regedit. Windows is trying to configure Visio upon Application Start-up
In windows 7, once you click on the .vsd folder in the registry, you will see two entries, default and content type. Erase what says on default and replace with either Visio.Drawing.11 or VisioViewe.Viewer depending on which one you have. You will know which one by expanding the .vsd folder in the registry--you will see a folder for the one you have. For the content type, I changed it to application/Visio.Drawing.11 but I don't think this one matters too much. I made the change initially on content type alone but the message kept coming up. Once I made the change on default entry everything worked. However, I never reverted the change on content type so it might actually be working in conjunction with the default changes made so you could try changing both or just default and see what happens.
The problem I was having involved the constant configuiring message plus not being able to associate vsd files with Visio. Whever I clicked on a file it would ask me to choose a program, but Visio was never on the list so I could not use it as default. After making the changes I still kept getting the message when opening Visio straight from .exe link. I had to first try and open a vsd file and now, after registry changes, I was able to see Visio on the program list. I checked the box to make it default, clicked ok and all vsd files now had a Visio icon. I opened any of these files and Visio opened without the configure message. Afterwards I tried opening Visio through the normal .exe link and it opened without the message. So once you make the changes, if you try to open Visio and the message still pops up, try opening a vsd file and set Visio as default first. Everything should be fine aftwerwards.