Visio is a very simple to use to protoype both web applications and thick clients, especially with the availalbe UI stencils. There is very little learning curve...with newest version, it behaves more like other MS Office.
Here is a info that might be useful (copied from visio blog):
I use visio for lowfideltiy (or wireframes) prototypes for both web and thick clients, and integrate it with Visual Basic or Powerpoint to add interaction.
good luck ,