Since version 2010, Microsoft Visio should support and recognize CorelDRAW graphics files (.cdr) natively and thus use them for the creation of Visio diagrams (.vsdx), which is what cdr to vsdx conversion essentially represents.
Alas, both of these file types are closed and not 100% perfectly supported in 3rd party tools, so if you do not have access to Visio (to properly export) or CorelDraw (to convert CDR to something else) you may have difficulties to make a perfect conversion of shapes saved in your .cdr file.