This situation has come up frequently enough in the newsgroups that the solution should be widely circulated:

When Visio crashes, it will often restart and recover the document you were working on.  This is generally quite helpful, but sometimes Visio doesn't know when to stop.  Sometimes Visio will continue to recover that document and show it to you every time you launch Visio.  This can be frustrating, but there is a solution.

Close Visio.  Then look in the folder "%userprofile%\Local Settings\Application Data\Microsoft\Visio" using Windows Explorer.  Some of the folders in the path are hidden, but you can usually paste the path found between the quotation marks directly into the address bar and press Enter.  Now find the file autorecover.ini and delete it.  The recovered documents should stop reappearing when Visio is launched.