If you go to Tools > Options > General in Visio 2007, you'll find the Enable AutoConnect check box.
The new AutoConnect feature is great when you're creating flowcharts and other connected diagrams, but is a major hindrance for other types of drawings like space plans, time lines, and UI-layout/wireframes.
Making the setting at the document (or even page) scope would make a lot more sense and annoy fewer users.