Somehow Microsoft decided not to include this feature in 2010 version of Visio.
Visio Forward Engineer Addin for Visio 2010, adds the ability to generate the database scripts directly from the database model defined in Visio 2010. It is developed in C#.
Visio Forward Engineer is an Office 2010 add in that provides Visio the ability to script the database creation of a data model. Even if it contains several limitations, it helps Office Visio users to create simple data models using the Visio interface without the need to install the older 2003 Enterprise Architect version.