You need to set the hyperlinks on each object with the menu [ Insert: Hyperlink... ]
You can point to external files or named locations in a file. If you have created multiple pages within your .vsd file, point to that by clicking "Browse."
Once you have created all of your pages and links within the file, you can go to [ File: Save As... ] and choose HTML as your file format.
Visio will create gifs of all your pages and make imagemaps in HTML files for each page.
Your final product will be a set of HTML pages that are clickable and represent your entire Visio document.