Last edited: September 28th, 2011
Error message when you try to open a Visio XML drawing (.vdx) in SharePoint
Microsoft Internet Explorer associates the .vsd extension with the .vdx file that you want to open. The .vsd and .vdx extensions use the same MIME type setting of "application/vnd.visio" (without the quotation marks). In situations when a file is saved to the local disk, Internet Explorer may associate the .vsd extension instead of the .vdx extension with a .vdx file.
The .vdx extension is not registered in Windows SharePoint Services as a file type that you can edit by using Visio 2003. By default, the .vdx extension is not configured with the Edit in Microsoft Office Visio option in Windows SharePoint Services 2.0.
Please reference Microsoft's knowledge base article HERE