Hello mister Davis.
You have made a few mistakes so far, but nothing we can't amend for.
First of all, following anything Kipkay says is a terrible idea. Jainobez pointed out he's frowned upon, and for good reason.
Second, you probably got ripped off for that small driver board from that site - it's grossly overpriced and overall, terrible. Fits Kipkay image.
Now, let's get you set.
You will need 6 rectifier diodes (1n4000 series, anything between 4001 and 4007 will do), and one 1ohm resistor. You will hook them all up in series.
This is called a test load. It will give you the ability to measure the current output and test the driver without actually putting any real laser diodes at risk.
You will connect the test load as if you'd connect a diode on the driver's output, and measure the voltage drop across 1ohm resistor - as you may or may not know, due to Ohm's law, you will get a direct number usable as miliamperes.
Using that, you need to set your driver (with a small potenciometer on it), to output somewhere around 100mA - under assumption you are using a PHR 803 laser diode. Let me know if you are using any other diode, for now I'm going with assumption it's 803.
Now, when you power the diode, it may or may not come as a shock to you, that it's not actually blue, nowhere close to blue, and nowhere close to being as visible and bright as you may have seen it on Kipkay's video.
With glass lens, it should output somewhere around 80 to 100mW, which will be enough to do burning tricks like lighting matches or poping balloons, but it will not be enough to reliably start a cigarette.
Next, you don't have a heatsink - what you have there, where diode is, is called diode housing, it merely holds the diode and lens in place. It's mass it too low to act as a heatsink. While heatsink is not obligatory, you'll need to adhere to strict duty cycle (I'd say somewhere around 15 seconds ON time, followed by 30 seconds OFF time)
Finally, the batteries. Using two petty button cells will give you about 7 seconds of runtime on one set of batteries. We usually use lithium ion cells, they vary in size from AAA sized ones (even smaller ones exist, but are rare) to huge 32600 size cells.
Look up lithium ion batteries and their specifications around interwebz a little.
Good place to buy some is DealExtreme.
If you have any further questons, feel free to send me a Personal Message instead of opening a new thread.