Typically, when Internet Explorer loads a web page from a Universal Naming Convention (UNC) share that contains a Mark of the Web (MOTW) comment, indicating the page was saved from a site on the Internet; Internet Explorer runs the page in the Internet security zone instead of the less restrictive Local Intranet security zone. This functionality can be controlled separately for instances of Internet Explorer spawned by Office applications (for example, if a user clicks a link in an Office document or selects a menu option that loads a web page). If Internet Explorer does not evaluate the page for a MOTW, potentially dangerous code could be allowed to run.
Set the policy value for Computer Configuration -> Administrative Templates -> Microsoft Office 2013 (Machine) -> Security Settings -> IE Security 'Saved from URL' to 'Enabled' and place check in 'visio.exe' check box.
The following resource is also helpful.
This security hardening control applies to the following category of controls within NIST 800-53: System and Communications Protection.This control applies to the following type of system Windows.