http://office.microsoft.com/en-us/visio-help/map-protected-web-site-areas-HP001055666.aspx
For Web sites that use HTTP authentication:
On the Web Site Map menu, click Generate Site Map.Click Settings, and then click the Advanced tab.Under HTTP authentication, enter a valid name and password, click OK, and then click OK again. The Web Site Map template regenerates the memory model and lays out your site map.
For Web sites that use some other kind of security:
On the drawing page, find the link to the Web page where some kind of interaction is required (such as clicking a link or entering a password).Right-click the link and click Interactive Hyperlink Selection.In the Interactive Discovery dialog box, interact with the Web page (for example, click a link or enter a password). When the Interactive Discovery dialog box closes, the links you navigated to are added to the Web site map.