It's an easy project and the parts list is short:
* Nintendo Zapper
* laser diode
* 10-microfarad electrolytic capacitor
* 9v battery & battery clip
* various wires (pref. red & black)
* soldering kit
* hot melt glue gun
Have fun!

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Battery pos > back (closed) switch post
Battery neg > ?
Cap pos > center switch post
Cap neg ? ?
Laser pos > front switch post
Laser Neg > ?
Did you combine the neg leads from the battery and laser and attach them to the neg cap lead?
Thanks
http://www.allelectronics.com/make-a-store/item/DLM-3/LASER-DIODE-MODULE-650NM-4MW-3VDC/1.html
that looks like them. :?) the caps and 9v battery clips should be really easy to find. i buy most of my components from Adafruit, SparkFun, Gravitech, etc. i hear you can get better prices on DigiKey if you know exactly what you're looking for and speak "engineer"...
cheers!
~ Peter