AutoRecovery is one of the most useful features in the Office suite, helping you recover documents if your system crashes unexpectedly. However, if you use any version of the Visio diagramming suite (which got updated this week along with the main Office 2010 range), it doesn't actually have AutoRecovery switched on by default.
Enabling the option isn't difficult, but it's a sensible step to avoid any unexpected gotchas. The link below describes how to set up automatic recovery for the 2002, 2003 and 2007 editions. Visio is a good diagramming tool, but if you have more basic diagram needs, check out Diagram Designer.
How to turn on AutoRecovery in Visio [Microsoft Support]