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!