We developed a multi-functional in situ measurement system under high pressure equipped with a laser ultrasonics (LU) system, Raman device, and laser heating system (LU-LH) in a diamond anvil cell (DAC). The system consists of four components: (1) a LU-DAC system (probe and pump lasers, photodetector, and oscilloscope) and DAC; (2) a fiber laser, which is designed to allow precise control of the total power in the range from 2 to 100 W by changing the diode current, for heating samples; (3) a spectrometer for measuring the temperature of the sample (using black body radiation), fluorescence spectrum (spectrum of the ruby for pressure measurement), and Raman scattering measurements inside a DAC under high pressure and high temperature (HPHT) conditions; and (4) an optical system to focus laser beams on the sample and image it in the DAC. The system is unique and allows us to do the following: (a) measure the shear and longitudinal velocities of non-transparent materials under HPHT; (b) measure temperature in a DAC under HPHT conditions using Planck's law; (c) measure pressure in a DAC using a Raman signal; and (d) measure acoustical properties of small flat specimens removed from the DAC after HPHT treatment. In this report, we demonstrate that the LU-LH-DAC system allows measurements of velocities of the skimming waves in iron at 2580 K and 22 GPa.