[Dick Linn]

Use the straight line tool to click, drag, release in succession for each side. Just like connecting the dots. The last line should have the endpoint aligned over the starting point before being released and the wire frame will become a solid. You could also probably just stick a bunch of individual lines together if the sides need to be of precise length. There's a pop-up box available with some dimensions and you can alter them rather than eyeballing and dragging (I forget which menu bar option has this...they moved it in Visio 2003).

Alternatively, use a stock shape with the correct number of sides, select it with the straight line tool (click and release), select a vertex (which will change color) and you can then drag and reposition it. Also use this technique to correct any shape you draw.

Check out the Union, Combine and Fragment features for working with two shapes. Pretty interesting.