The University of Wisconsin-Madison Libraries in collaboration with the University of Illinois at Chicago Libraries are currently working on digitizing this series. You can find 1861-1960 (with some missing volumes) online at the following Website: http://digital.library.wisc.edu/1711.dl/FRUS
The Salmon Library also has 390 print volumes available in this series. To find out which ones, just do a title search in our library catalog for "Foreign relations of the United States : Diplomatic papers, 1861-" These are now being shelved in our Government Documents area on the ground floor.
Please check at the Reference Desk for additional assistance locating this series.