You'll need a green lab style laser module, a pair of old headphones, a box, a switch, an AC/DC adapter, and some hand tools.
Here's a link to more detailed instructions with a full parts list.
You can see some videos of it in action here and here.
Step 1: Power Supply and Control
Don't connect anything to the laser yet! Why? We need to mount the switch and the receptacle in the box, and you'll quickly find that you need to pass the wires through the little hole in order to mount the switch. The laser, needless to say, will have a bit of trouble fitting. Put everything into place, and apply glue to the inside to ensure everything stays put. You don't need to do this, but it doesn't really hurt.
Now we can solder those leads to the laser, and fix the laser driver board to a part of the box. If you look at the board there should be a big piece of metal attached to a component, that's the heatsink for the power transistor. Make sure it has lots of free space around it, it can get hot and needs to cool off.
Make sure the laser is pointing away from you at something non-reflective and cheap (a piece of wood is great), plug the AC/DC adapter in, and turn the switch on. You should see a whitish dot appear. Alright, now we have a working laser that we can easily turn on and off!
Step 2: Laser Modulation
Grab your glue gun, dab a bit of glue on the back of the mirror, and quickly and carefully place it right in the middle of the speaker, ensuring it remains flat.
Step 3: Alignment and Mounting
Ensuring the laser remained parallel to the bottom of the box, I then I adjusted the height of the laser with a mounting made of popsicle sticks. The end result is a beam which bounces off the mirror at a 45 degree angle and then heads straight for the ceiling.
Now we need to place the diffraction grating so that it intercepts the laser being reflected off the speaker, and breaks it up into hundreds of different beams. We want to place the diffraction grating directly above the mirror if you've aligned your laser with a 45 degree reflection angle.
Use a Dremel tool or similar to cut a hole in the top of the project box that's slightly smaller than the diffraction grating. Then mount the diffraction grating in place with the glue gun.