Visio 2002 Prof.: where is Web menu?

I am trying to generate a map of an existing website. In the microsoft.com documentation, it says:

“on the File menu, point to New and click Web Diagram. Then click Web Site Map.”

I do this and a new file is created. Then…

The next step says “On the Web menu, click Generate Site Map to launch the Generate Site Map dialog box.”

There is no web menu! Where is the web menu?