It depends somewhat on what version of Visio you are using, but you'll likely find it somewhere like "Tools" -> "Add-Ons" -> "Visio Extras" -> "Database Wizard".
You'll have to create an ODBC connection, and there are quite a few screens (there are a ton of options as to how you tie them together), but playing around with that for a bit should make you comfortable with it in 30 minutes or less.