To burn a bug at a distance is going to require about a 2000mW laser at a minimum so that is a class IV laser which means you are going to have to be very careful about reflections. A fraction of a second reflection to you eyes off of a shiny item can cause great harm. Plus the dot on a white wall is going to be really, really bright.
Don't mean to rain on your parade but it just is not very safe to do.
Goggle - fruit fly trap. They work great and can be baited with fruit, wine, apple cider or apple vinegar.
Here is a link that might be helpful with a build.
http://laserpointerforums.com/f51/i-want-build-laser-thread-52972.html
Good luck!!