There used to be many changes before the version 1.x.y. Code that worked in versions 0.3.x is probably not going to work because of those changes.
In versions above 1 you need to first use LinearAlgebra, which is the standard library that contains that function.
julia> using LinearAlgebra
julia> v = [3,4]
2-element Vector{Int64}:
3
4
julia> diagm(0=>v)
2×2 Matrix{Int64}:
3 0
0 4