An easy option using software that you may already have would be to put it together in Microsoft Powerpoint. It has all the shapes you need apart from the probability distribution function and makes it easy to them with arrows. To reproduce the probability distribution function you could either find one as clipart on the web (and cut out any unwanted parts using the tools available in Powerpoint) or use the curve tool in Powerpoint to approximate it. Once you have the diagram set up as you need it you can save or export the slide to an image format. There are better more specialised drawing tools and there are free tools available if you don't have Powerpoint (GIMP is quite powerful for instance) but Powerpoint is what I use for this sort of diagram because I already have it and know how to use it.