I have done this in the past by taking the image into Word and using the transparent tool to select which color should be trasparent. Then copy this image to the clipboard and then paste back into the Visio document. This used to work but I recently tried this with Visio 2003 and could'nt get it to work
The way to do it now is to open the picture in Adobe Photoshop, Use the various tools to make the background transparent, and then save as a GIF file. Go to Visio and insert the new picture.