The following links were given to me when i first started....
http://laserpointerforums.com/f51/i-want-build-laser-thread-52972.html
http://laserpointerforums.com/f67/how-laser-diode-drivers-work-explanatory-thread-71513.html
http://laserpointerforums.com/f51/dtr-s-reviews-tutorials-modifications-compilation-53944.html
building a diode laser is pretty simple actually. they usually consist of the following parts.
1. focusing lens
2. diode ($10-$90.00) depending on the power
3. heat sink
4. constant current driver
5. host that makes good contact with the heat sink hopefully
6. contact points for the batteries to transfer power to the driver circuit
7. maybe a switch and thats it!
not much to it....the hard part is knowing where to get the parts, but there is somebody on this forum for just about everything on that list and they usually have better prices here than what you would pay outside the forum.
hope that helps!
You are probably better off to buy a complete kit/parts bundle with instructions from one of the member selling same for a first laser or a finished complete laser for a member ---they sell for not much more than the parts cost --see Buy,Sell, Trade section.