For graphics with a non-Office format (.png or .eps, for example) I can simply insert picture from file, and decide – by way of bonus – whether I want to paste the graphic into the document or risk using a link.

Updating a document received from a colleague, I need to insert a Visio file: insert picture from file has to be bullied into displaying .vsd files in the file-list, and then tells me I have to convert the file … from a list of possible formats that doesn't include .vsd

I'm obviously missing something here, but what? Thanks in advance for hints and tips.