What is SQLDiag?

SQLDIAG is an utility that provide general purpose diagnostics (collection).
It can be run as console application or as a service. It is available
in all versions starting from SQL Server 2005 to SQL Server 2014.
SQLDIAG collects the following types of information:

•Windows Event Logs (Application, System, and Security) in .CSV files

•System Monitor (aka Perfmon) performance counters in .BLG file/s

•SQL Server Profiler traces in .TRC file/s

•SQL Server Blocking chains in a _BLK.TRC file

•SQL Server error logs, configuration, point-in-time snapshots of several DMVs in
a .OUT file

•System information via the Msinfo32 utility in a .TXT file

You can customize the utility by editing (manually)  the XML configuration file
of the utility, SQLDiag.xml

There is also a GUI tool which you can use to visually edit the xml file at the
codeplex site here.
http://sdct.codeplex.com/

File location on your computer:
If you have installed SQL Server in the present post SQL Server 2012 it should be
installed in the same directory as SQL Server which is usually,
%ProgramFiles%\Microsoft SQL Server\110\Tools\Binn