A warning before we start, this project should give little trouble to experienced laser modders, if you have never built your own laser I would suggest starting with something more basic.

Using inexpensive and easy to get parts, build a 7 colour, including of course white, hand held laser.

The following parts will be enough to build a bare, 7 selectable colour laser, it is up to you to make the housing of your choice. This could easily be built into a project box but I wanted a hand held pointer. Video link below shows what I decided to do with it.

Basic parts list
2 off Aixiz modules *
http://www.dealextreme.com/details.dx/sku.5914
1 off Standstone11 5mw green module
http://www.o-like.com/b2b_cpinfo.asp?id=839
1 off SenKat red laser diode (fit into Aixiz module)*
http://stonetek.org/shop/index.php?main_page=index&cPath=65&zenid=1fbee4eaf3f879a42b204d666a1760bc
1 off PHR 803T sled (fit Blu ray LD into Aixiz module)*
Look at group buys on laserpointerforums.com
1 off PS3 sled
Look at group buys on laserpointerforums.com
1 off Non working DX 5mw green module

you could avoid having to fit the laser diodes by buying them from http://hightechdealz.com/index.php?main_page=product_info&products_id=12

Additional parts used in this build
3 off Lathe turned adaptors
If you have a lathe no problem if not & you need to improvise.
1 off Rkcstr drive' low range (for the blu ray)
http://www.laserpointerforums.com/forums/YaBB.pl?num=1206947255
1 off Rkcstr drive' high range (for the red)
http://www.laserpointerforums.com/forums/YaBB.pl?num=1206947255
3 off RCR123A rechargeable batteries
http://www.dealextreme.com/details.dx/sku.11386
3 push buttons, one for each colour.

If you have no experience of mounting laser diodes and drivers into modules there are usually some ready assembled ones for sale in buy,sell and trade here. http://www.laserpointerforums.com/forums/YaBB.pl?board=b_bst
Or by buying them from http://hightechdealz.com/index.php?main_page=product_info&products_id=12

Step 1: Modding the PS3 Sled01

You will need to remove all of the optics EXCEPT the 2 splitter cubes
And the turning mirror (remove all the bits marked in red)

Step 2: Modding the PS3 Sled02

The three holes circled in red below need to be drilled out to 5.0mm dia.
Saw the beam splitter section off, cut along the green line.
Cut out the turning mirror holder marked in purple.

It is best to put the small cover plate back on over the beam splitters to keep them clean (not shown).

Step 3: Adaptors for Aixiz Modules

The modules need to be the type with the removable chrome bezel on the lens nut!

To keep the optics straight the module needs to be attached to the cut down sled using the bezel, brass adaptors need to be made that are 5mm at one end and the size of the hole in the bezel the other with a larger diameter in between. Once the adaptors are made the front face of the bezel needs to be sanded to remove the chrome plating so that the parts can be soldered together.

Step 4: Blu Ray Module

When you assemble the modules the bezel needs to be screwed tight up to the front half of the module (metal to metal, no plastic lens nut showing) at exactly the focus point, this is quite easy for the blue, it is just a case of getting the lens the right distance into the bezel.

Step 5: Red Module

The red will need a thin washer to take up the gap, I used a ring of solder squashed to the right thickness in a vice to get it right.

Step 6: Adaptor for Green Module

The best green module for the job is the type sold by standstone11 (Susie)linked above, it has a large internal thread at the front, the main part of the adaptor is made from the back part of a DX green module which, amazingly, has the same thread!
Another small brass sleeve needs to be machined up to fit as shown.

Step 7: Green Module

Again the adaptor needs to be screwed tightly to the green module to keep things in line, this is easy for the green as the focus is already set.

Step 8: Trial Assembly

First trial assembly
Once the modules are complete, drivers have been set up with power supplies and switches you can push everything together to get an idea of how close the optics are to pointing in the right direction.

If you clamp the sled part so that it does not move you can insert the laser modules as shown (red is shown without the back cover) and power them up, you should be able to combine the beams at a distance to make a white beam.

Make sure you do not have to force the modules in any direction to do this. Once you are happy with the set up you can glue the modules in place, one at a time, using slow setting 2 part epoxy.
This slow setting glue avoids the worry that it will set before you are happy with the modules alignment.