If you download a stencil or shape file from the internet, commonly provided by equipment manufacturers, you can easily make them readily available inside Visio when Visio is launched from your local Windows profile. 

1. Copy the .vss file into the directory that Visio 2010 is looking at for "My Shapes". By default this should be something like "C:\Users\USERNAME\Documents\My Shapes". 

Once the .vss files are in that folder, they should appear in Visio under the My Shapes section of the Shapes selection menu on the left pane of your Visio workspace.