In Greek mythology, Io (pronounced "EE oh" though "EYE oh," is also acceptable) was the daughter of Inachus, a river god. One day Zeus noticed her and she quickly became one of his many lovers. Their relationship continued until Zeus' long-suffering wife Hera almost caught them -- a fate avoided by Zeus turning Io into a beautiful white heifer. However, Hera was not completely fooled and demanded Zeus give her the heifer as a present.
Once Io was given to Hera, she placed Io in the charge of Argus to keep her separated from Zeus. Zeus then commanded Hermes to kill Argus, which he did by lulling all one-hundred eyes to sleep. Hera sent a gadfly to sting Io as she wandered the earth, eventually running into Prometheus, who told her that she would eventually be restored to human form and become the ancestress of a great hero (Heracles). Io escaped across the Ionian Sea to Egypt, where she was transformed back into human form by Zeus. In Egypt Io gave birth to Epaphus.
The term Io fly is derived from the gadfly Hera sent to torment Io into fleeing to Egypt after Argus was slain.