I spent quite some time to figure that one out. So I let you share the (easy) solution.
Everytime I tried to create a database model in Visio, Visio stopped responding and just went dead. After reading a lot of forum entries in various newsgroups I found a clue. Someone said that it had something to do with video drivers.
And yes that's it (or at least quite). In my case the problem was, that I was working over a remote desktop connection. If I opened the same file locally on the computer, everything worked as expected.