Diane is the mysterious woman Dale Cooper addresses all of his tapes to. She is never seen and is possibly Dale's colleague or housewife. Some fans theorize that she doesn't even exist and is Cooper's way of coping with the loss of Caroline.
Best explanation is that Diane is Cooper's secretary at the FBI. Every time he fills a whole tape he mails it to her and she transcribes it, takes notes, etc. We see him greet her in the office in the movie (FWWM) but even then we don't actually see her. It should also be taken into consideration that when cooper asks Diane for earplugs, he receives them almost instantly.