you find it in the national park and go near the boy with the gameboy in his hand go in the opening and go left until you get to the TM 28 dig
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well, dig isn't a HM in Pokemon diamond, but it is an TM. anyway, you can find it on route 214, inside a cave where you'll find the ruin maniac- the same place where you find hippopotas.
Dig is not a HM in Pokemon Platinum but a TM, it can be found in the ruin maniacs cave.
Outside Cianwood City Gym.
get on the other side of the fence and go as far left as you can, and then down. you will find the TM dig
Assuming you mean the hm fly on Pokemon crystal, you get it from the lady out side of Cindawood gym.