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I think in my case I had a visio file in auto recover mode all the time. These steps helped me clear that.
Close Visio, if it open.
Using Windows Explorer navigate to the folder %userprofile%\Local Settings\Application Data\Microsoft\Visio.
Edit the AutoRecover11.ini file in notepad, select all text and delete and save it.
Open Visio again and it should not open the second file anymore.