forcing IE to open Visio files in external (Visio) app

I know you posted your question a few months ago, but I just went through the same frustration and figured out how to force IE to open Visio files in the external application. My Word and Excel files opened in their native applications, but Visio files were stuck in the annoying embedded IE window.

To force IE to open Visio files outside of IE:

Go to My Computer --> Tools --> Folder Options --> click the File Types tab. Scroll down the list and select the VDX extension, then click the 'Advanced' button. Make sure the bottom checkbox ("Browse in same window") is unchecked.

That fixed it for me!