Set your amplifier to distortion.
Practice palm-muting. This is the first technique that must be mastered in order to play this version of "Holy Diver." Practice picking the open low E string with the palm of your picking hand covering the bridge, just enough to mute it but still let the note sound out. Be sure to alternate up and down picking when practicing this.
Practice harmonizing if you have another guitar player to work with. The main melody in "Holy Diver" is based on the E natural minor scale: E, F#, G, A, B, C, D, E. Start out by playing the root melody: E, E, E F# G, and then having the other guitarist play over you with the same sequence starting on G: G,G,G A B. The other melodies in the song are simple alterations on this pattern.
Practice pinch harmonics. These can be tricky so be prepared to spend some time on this one. The key is to use both the pick and the thumb of your picking hand when playing a note on the low E string; your goal is to produce a high-pitched squeal clearly ringing out. These are interspersed throughout the song.
Listen closely to the song again. Once you have mastered these techniques, you will hear how they are interspersed throughout the song. If you're still having trouble picking up the melodies or chord progressions, consult one the guitar transcriptions widely available online.