This is not a processMax problem. But the way to fix it is the following:
For Visio (and many other applications): from Windows Explorer, navigate to Tools/Folder Options/File Types, and then select the file type that you want to see open in its own application. Select Advanced, and then uncheck ‘Browse in same window’. Also, make sure that you follow the instructions in 'Configuring Client Computers' found on the home page of the processMax Support Center.