Enable the SharePoint 2010 Workflow Visualizations
To use Visio 2010 for workflow visualization, you must be running the Enterprise version of SharePoint Server 2010 and Visio 2010 Premium. Browser visualizations are only available for SharePoint Designer workflows. So it is not available for Workflows built using Visual Studio 2010 or any other tool.
To configure the workflow visualization on the SharePoint 2010 follow the instructions on the following link:
I used to have the problem, that is solved according to the following procedure (be careful at the end; the visualization does not to apply to already running instances of your Workflow, only for the new ones):
This site is helfull for the further steps on creating Workflows for SharePoint in Visio 2010: