The commonly accepted practice is to only solder a diode that's in a heatsink/module, use a 25w or smaller soldering iron, no more than 2-3 seconds contact between iron and diode pins (if you need to solder more allow 5min or so cooldown before you go at it again) ... wait, maybe this will help:
(nevermind - Ya beat me to it, ElectroFreak ;D)
bottom line, keep that diode as cool as possible and work quickly!
that sucks - but we've pretty much all blown stuff up in the name of progress! Hit the "buy-sell-trade" thread, Jake21 has cheap PHR diodes and if you ask him nice I'm sure he would press it into a module for you as long as you bought the module, then you can start over!