Microsoft graphic format for Office and Visio.
These are basically zipped .EMF files; if you have an editor that will accept .EMF files try unzipping the .EMZ file and then importing them into the editor. They will likely import as a single grouped object instead of individual objects, however.
Also, sometimes the file in the archive is .EM instead of .EMF. If so, rename to .EMF.
If you have created a site with Visio that does not load the .EMZ files you need to rename the file from *.EMZ to *.emz (i.e., make the extension lower case). This is particularly true if you are using a UNIX or Linux host.