Before you can use an object-role modeling file with Visual Studio, you have to install NORMA. (Downloadable from the library)
Then, if you want to create a new .orm file in Visual Studio, you use File>New>File, scroll down the list and click on "Object-Role Modeling file.
If you want to use an existing .orm file, just double clicking on the .orm file usually works.
You can also use File>Open> File and navigate to the .orm file that you want to open.
I suggest that you experiment with one of the .orm files in the open source models section of the library.
The NORMA - Tutorials section contains several presentations on how to use NORMA.