OK.
Just about all laser pointers and anything else that uses a simple laser to produce a visible dot at a distance, uses just a single lens to collimate (focus) the point source of the laser light, into a beam.
This lens is focused to infinity, so as to give the smallest dot (beam width) for the longest distance.
This is different from the type of focus you would use with a magnifying glass and the Sun, where you move the glass to just the right distance from the objective to create the smallest dot you can. -One is about getting the best beam for any distance and one is about getting the absolute best beam for a particular distance.
Another way to look at it, is like a camera; if you focus it's lens to infinity, everything from two feet to a hundred feet will always be in focus, but at the loss of detail and any magnification. While if you zoom in to magnify and capture detail, you'll have to manually re-focus the lens for every distance, losing the "point and shoot" capability that focusing to infinity gave you.
Basically, the single a spherical lens in the laser pointer is giving you the best "one size fits all" dot (beam width) you can get.
If you want to get a smaller dot, you can try manually moving the internal lens (if it’s adjustable); this will really only be of value if the item you’re focusing the dot on, is less than 10 feet away. Longer distances are just not feasible, due to the short focal length of the internal lens (usually less than an inch from laser point source to the actual lens). Once your beam travels beyond a certain number of feet, the short focal length of the “one size fits all” lens, makes it almost impossible to fine tune any more.
You could try increasing the final focal length by adding more lenses (I've heard using a small telescope or monocular in reverse can work), but you'll have to manually re-focus the beam if the distance to the object you're shining it on changes. –Plus you’ll have to rig something up that will mate all the parts together.
Lastly, if all you want is a smaller dot (thinner beam) and don't mind losing some of the beams energy (brightness), you could just truncate or crop the width of the actual beam as it exits the lens. To do this, look at the aperture where the actual laser beam exits the pointer. This aperture (hole) is usually about 1/8th to 1/16th of an inch across. To crop or truncate the beam, you could take a small bit of aluminum foil and wrap it over the lens aperture, then, taking a sharp pencil, poke a small hole in the foil over the center of the covered aperture. -Depending on the size hole you create, the resulting beam or objective dot will be smaller and correspondingly dimmer, because of the portion of light energy that’s been blocked off. –Such a smaller, dimmer dot may be worthwhile, if using the laser as a signal carrier, signal source or trip sensor.
I hope this helps.
There are guys much smarter than me on this board who can give you better math and theory, but I think this covers the jist of what you're asking.