Welcome to LPF :wave:
You'll need a few things actually , depends on what laser you are making.
Do a little search on your own and you'll get all the information is already there on the forum in form of tutorials, and people every now and then come and ask this same question you'll be amazed how its all connected.
Host - Usually a flashlight shell
Heatsink - A piece of metal that goes in the reflector area of the flashlight shell with a 12mm hole for a module
Module - To press your diode into
Wire - For going from the driver to the diode
Heatshrink - To protect the diode pins from shorting
Diode - The thing that makes the light
Driver - Regulates current going to the laser
Battery - Obvious
Lens - To focus the light coming out of the diode
Focus adaptor - So you don't burn yourself when focusing the laser