When you say blurry, do you mean aliased or stairstepped? Smooth diagonals can be tricky on a bitmap grid.
If the object is stroked, softening the Edge (e.g., changing it from 0 to 1) might help. Otherwise, increasing the pixel resolution of your canvas might be a good idea. For example, if you use Modify > Canvas > Image Size to double the resolution/size of your graphic, you'll have twice the numer of pixels to render the diagonal, and those lines will appear smoother as a result. Then, when you're ready to export, you can use File > Image Preview... and scale the graphic back down to its original intended output size.
Here's a quick study of skew rendering in Fireworks 8. Your results may vary.
Steeper angles produce harsher edges. The closer you get to 45 degrees, the smoother the rendering (as the steps get progressively smaller and more numerous). As you can see in this 400% view (click below to view full-size), an anti-alias fill still has a fairly sawtoothed edge. However, a stroke with a softened edge exhibits much finer gradations in its anti-aliasing.
The anti-alias edge setting for fills tends to be too harsh, in my opinion; it's a shame that there aren't more options to adjust this (as there are for text, for instance).