Hey Mikey, I'm pretty much a laser noob myself but I think I can answer your question as to what a sled is. A sled is part of a cd/dvd/blu-ray drive that holds 1 or more laser diodes, heat sinks, electronics and other assorted parts. People here buy the sleds to "harvest" the laser diodes from them.
For online purchases perhaps you could use a third party with a paypal account to buy stuff for you. You give cash to a trusted source then he buys the stuff online for you.
Lastly I just want to give some kudos to the folks who have offered to send free parts to Mikey to help with his first build. It speaks volumes about this forum and the people who frequent it. +1's all around if I wasn't a noob and could give more then neutral.