Have you ever had to modify the XLM configuration file for SQL Diag?
There is a GUI configurator tool on Codeplex for SQL Diag. I highly recommend it: http://sdct.codeplex.com/.
SQL Diag is a very powerul diagnostic tool that SQL Server DBAs should now about and use. It collects performance and troubleshooting information about your SQL Server & Windows Server and is used by tools like SQL Nexus and internally at Microsoft by the PSS support team.
Be aware that, similar to running SQL Traces, running SQL Diag will have negative performance impacts on your SQL Server while it is collecting data. But when diagnosing problems, using SQL Diag is very helpful and using the GUI tool to configure it now makes that a much easier process.