Please stay away from the 39WDV. This is an IR diode of at least 80mW. While it might LOOK like a fairly dull and faint red, it is a real powerful and dangerous invisible light. Don‘t try to power that on without proper eye shields!
The other one is a visible red and suitable for building a quite powerful pointer. You still need a proper driver for powering the diode, collimating lens, case. Some experience with handling static sensitive components like the Laser diode is useful. The red one is as dangerous as the IR but at least you can see where it is shining.
Even without data sheet, a multimeter should tell you which leg is the anode and which the cathode of the diode. You can ignore the third one, that is connected to the case. Trying the diode, a regulated, constant current power supply is the tool to feed a defined amount of current through the diode, slowly ramping up.
You will find a lot of resources here to tdo that right.
