Vio is the I/O voltage of the CPU.
My Pentium 3 has a Vio voltage of 3.3v, so it runs off 3.3v from the PSU.
My Pentium 4 has a Vio voltage of 1.5v(same as Vcore), and it gets it's power from the 12v(because it's the same as Vcore, and Vcore comes from 12v).
Britney machines have a Vio(often referred to as Vht, for Voltage HyperTransport) of 1.2v, which comes from either the 5v or 3.3v(I don't know which one, might vary depending on mobo).