What is the element used to make the Hammer of Thor?
The Mjölnir is made out of an Asgardian metal named 'uru'
And assuming you're referring to the nordic Thor instead of the Marvel Thor: Mjölnir could either be a stone hammer (Based on the name), or made from iron when Sindri and Brokkr had a bet with Loki that they could create items more beautiful than those of the Sons of Ivaldi.
The last item they created - Sindri puts iron into the forge, and whilst Brokkr is working on it Loki succeeded in distracting him (By biting his eyelid as a fly and drawing blood). This is why Mjölnir has a short handle.
Then Sindri laid iron in the hearth and bade him blow, saying that it would be spoiled if the blast failed. Straightway the fly settled between Brokkr's eyes and stung his eyelid, but when the blood fell into his eyes so that he could not see, then he clutched at it with his hand as swiftly as he could,--while the bellows grew flat,--and he swept the fly from him. Then the smith came thither and said that it had come near to spoiling all that was in the hearth. Then he took from the forge a hammer, put all the precious works into the hands of Brokkr his brother, and bade him go with them to Ásgard and claim the wager.
From the Skáldskaparmál.
Another version of Thor's hammer is actually made of few devices and different materials, as presented in stargate SG1. From Stargate Wiki:
Thor's Hammer was an Asgard device that protected the people of Cimmeria from Goa'uld interference. According to legend, the Hammer was said to be a great weapon, wielded by the god Thor. In reality, the Hammer was a complicated collection of devices, consisting of several parts, serving as Cimmeria's only line of defense.
Two part answer:
1) Uru...but what is Uru?
2) In the first Thor movie, Odin, I believe, mentions that Mjolnir was forged from the heart of a dying star. We know that stars of sufficient size to create neutronium at their cores do so during the last phase before death; just prior to supernova. Some result in neutron stars, others exceed the Chandrasekhar limit and become black holes.