hhlai,
Select the object you wish to link, on the menu bar select insert > hyperlink > select browse link to URL or file > select the other visio doc and then OK.
This should be the same or similar in all versions. The function that you want is hyperlink even if it is in another place in your version.
It would assist if you post what version you have in the future.
Hope this helps.
rvnguy
"I know everything..I just can't remember it all