For Visio 10, copy the stencil and template files to the Visio 10 filepath mentioned below, probably into either the "Database" or the "Software" folder. With Visio 12 (a.k.a. Visio 2007), there seems to be no standard folder for user-made templates. The "My Shapes" folder is only intended for stencils, so is limited. And any files put in "C:\Program Files\Microsoft Office\Office12\1033", Visio will definitely not find, as that folder is only for Visio-installed files.
 
If you're using Visio 12, here's what we recommend: Pick out, or else create, a folder where you want to hold every SUB-folder holding templates and stencils not Visio-installed. If you still have Visio 10's installed filepath for templates and stencils, you can use that--especially if it still has the templates and stencils that came with Visio 10 (as subfolder, use the "Database" or "Software" folder):
 
C:\Program Files\Microsoft Office\Visio10\1033\Solutions
 
If not, or if preferred, create an appropriate solutions-subfolder in Documents or My Documents: maybe call it "My Visio Solutions". Then copy its file path (including "Users/user name/Documents" in Vista, or "Documents and Settings/user name/My Documents" in XP, but omitting at the end, in either case, the name of your chosen solutions-subfolder) to BOTH of these two filepath fields in Visio's Tools menu:
 
Tools --> Options... --> Advanced (a tab) --> File Paths... --> Stencils:
Tools --> Options... --> Advanced (a tab) --> File Paths... --> Templates:
 
(If you're using a Visio 10 subfolder(s), copy the above filepath to these two places.)