When you link a shape or page to a file, you can choose whether the path for the link is relative or absolute.
Relative path
A relative path describes the location of the linked file in relation to where your Microsoft Office Visio drawing is saved.
Link to a file in a subfolder
Type a relative path starting with the name of the next folder down from the one your Visio drawing is in. For example, if your drawing (Linked From.vsd) is in My Documents and the file you're linking to (Linked To.vsd) is in My Visio Drawings, the relative path would be My Visio Drawings\Linked To.vsd.

Link to a file in a parent folder
Type ..\ for each folder up you need to go. For example, if your drawing (Linked From.vsd) is in My Visio Drawings and the file you're linking to (Linked To.vsd) is in My Documents, the relative path would be ..\Linked To.vsd.

Move relative link files
To move either of the files without breaking the link, move the folder your Visio drawing is in, the folder the linked file is in, and all of the folders in between as a unit.

Tip
If you expect to move the files you're linking to and from, put them both in the same folder.
Absolute path
An absolute path spells out the exact location of the linked file in terms of drive, folder, and file name. For example, an absolute path might be c:\Documents and Settings\All Users\My Documents\My Pictures. You can move a Visio drawing file without affecting the link, but if you move the linked file, you will need to open the link in your drawing and update the path.