*sigh*
The same thing happened to me actually.
In fact you have to pick them up with the correct order. 1st file, then 2nd e.t.c After I learned that I didn't bother with it again and saw the diary in youtube.
Edited: oops didn't see you got them in order! Sorry.
Jill's diary appears in the slot of your first file. Also are you sure you've picked them up correctly?
Edited 2: I think I found it! When you pick up a file, don't hit the triangle button! Scroll your way to the final page and hit the "exit" option instead!