Visio can export many different image formats but only .emf and .pdf as vector graphics. Tex can only handle .eps and .pdf vector graphics and therefor .pdf is the file format to go.
But there is the problem. All PDF exports allways have a big white margin around them and can't be imported in Tex like this.
How to export a Visio graphic properly to use it in Tex?
pdfcropcommand line utility as described here: http://tex.stackexchange.com/questions/5559/how-to-avoid-large-margins-around-matlab-plot-in-pdf – James Jun 22 '16 at 14:43