Originally posted by Flying Mullet
There is no diagonal button, you have to hold in between the two directions, i.e. if it's up-left you have to hold between the two, and move between the three directions in a sliding motion.
That's the simplest way, in my opinion. It's what I did with the SNES, it's what I do with the PS2, and it's what I do with my computer controller for emulators.