Nav Bar
 

How can I add this to my Nav Bar? <A href="/diarycp.php.php">Diary</a>

Through your admincp :p

Where in my admin panel?

Where exactely do you want to put it?
Right beside the "UserCP" and so on links?

If so head to AdminCP -> Style Manager -> Edit Templates (of the style you want to edit) -> locate and double click the "navbar" template (It's in a group also called something with "navblah blah") -> find:
Look through the table definition and on a place you find fitting add:
There ya go :)