I'm working with Visio Pro. 2002, and this is dead easy.
Create a new diagram using the 'New' menu choice under 'File'. Select Database - database Model Diagram.
This should now add 'Database' to your main toolbar. Select that and choose 'Reverse Engineer ...'.
Follow the instructions to create/select the datasource etc. You're done. I haven't played with it very much, but it does work quite nicely for the basic diagramming I need.