I use SourceGear's Vault for source control (v2.0.6 - I do not have the money to upgrade nor feel I would get much by doing so) and don't care much for the diff/merge tool that came with it (nor is the newer version any better), so I use the free and open source KDiff3 instead.

In order to integrate the two, open the Vault client application, select the Options item in the Tools menu, change the program in both the diff and merge sections so that it points to the KDiff3.exe file, and use the following arguments strings:

For Diff:
 "%LEFT_PATH%" --fname "%LEFT_LABEL%" "%RIGHT_PATH%" --fname "%RIGHT_LABEL%"

For Merge:
 "%BASELINE_PATH%" "%OTHER_PATH%" --fname "%OTHER_LABEL%" "%WORKING_PATH%" --fname "%WORKING_LABEL%" -o "%DEST_PATH%" --fname "%DEST_LABEL%"

Note that you must include a space character at the beginning of each of these argument lists - maybe there is a good reason SourceGear designed things this way, but off of the top of my head I can't think of a good reason; it merely causes frustration if you forget.

I hope this is useful to someone, I have to have this information each time I run Vault somewhere new, and I get tired of losing it (not that it is all that hard to figure out, I simply want to save some time and reduce the tedium of the task).

[UPDATE: Added label information in the argument lists]