High pressure compounds and polymorphs are investigated for a broad range of purposes such as determine structures and processes of deep planetary interiors, design materials with novel properties, understand the mechanical behavior of materials exposed to very high stresses as in explosions or impacts. Synthesis and structural analysis of materials at extreme conditions of pressure and temperature entails remarkable technical challenges. In the laser heated diamond anvil cell (LH-DAC), very high pressure is generated between the tips of two opposing diamond anvils forced against each other; focused infrared laser beams, shined through the diamonds, allow to reach very high temperatures on samples absorbing the laser radiation. When the LH-DAC is installed in a synchrotron beamline that provides extremely brilliant x-ray radiation, the structure of materials under extreme conditions can be probed in situ. LH-DAC samples, although very small, can show highly variable grain size, phase and chemical composition. In order to obtain the high resolution structural analysis and the most comprehensive characterization of a sample, we collect diffraction data in 2D grids and combine powder, single crystal and multigrain diffraction techniques. Representative results obtained in the synthesis of a new iron oxide, Fe4O5 (1) will be shown.