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Internet Explorer cannot open the Internet site
http://www.vistaarticles.com/articles/126/1/Internet-Explorer-cannot-open-the-Internet-site
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Published on 11/23/2006
 
Describes an issue that occurs when you use the Vector Markup Language (VML) output format in the Save as Web Page feature of Visio 2003. Provides a workaround.
Internet Explorer cannot open the Internet site
1. On the File menu, click Save as Web Page. 
2. Type the file name and the output location.
3. Click Publish. 
4. Click the Advanced tab, and then click to select a format other than VML (Vector Markup Language) in the Output formats list. 
5. Click OK.