While it has already been answered how to start the diff, it's also important how to stop it in all windows. For completeness, I repeat the comment from @Bernhard.
Start and Stop Diff of two files opened in 2 Windows (works in both, vertical and horizontal split):
this can be shortened to either
Be aware that opened windows for showing plugin content lead to issues. So close stuff like NERDtree, minibufexplorer++ etc before.
To ease up things you can add custom commands to your
command! Difft [ClosePluginWindow |] windo diffthis
command! Diffo windo diffoff
[ClosePluginWindow |] being optional to close plugin windows you usually use. For NERDtree e.g. this would be
Credits go to @cxw and @Jordi Freixa.