Depending on your version and edition, you should be able to find a Gear
shape by using the Search for Shapes on the left Shapes pane in Visio. If
you have Visio Professional 2003 or 2007 it should be under Mechanical
Engineering/Springs and Bearings stencil (it's under Engineering in 2007).
I don't think there's a pulley shape in Visio or on Visio Web Shapes (what
Visio searches when you're connected to Internet). At least I didn't find
anything by searching for 'pulley'.
I'd checkout
http://visio.mvps.org/3rdparty.htm, it's a good one stop shop
for Visio shapes that you cannot find in Visio.
Best Regards,
Aaron Rykhus, MCP, MCDST
Online Support Engineer
Microsoft Corporation