A load has resistance, for instance only 1 amp per volt will flow through a 1 ohm load, so if I connect my 30v 10a PS to a 1 ohm load and turn the pots up it will show 10a and 10v but knock a wire loose and the voltage will jump to 30v as the output filter caps charge, reconnect and POW you blow your load.....I know that sounds funny........
Laser diodes can change resistance as they warm up, so if you start at threshold voltage established by setting up with the PS driving a short and your current turned back all the way down, you want to chase your current behind your voltage making small increases until your current is in regulation where you want it, you also should turn back your voltage until you see the current start to drop so that both are limited.
If you are running with your CC light indicating that your current is in regulation your voltage could still be turned up past what it needs, but because the current is limited only so much voltage is flowing due to your loads resistance until you knock a wire loose, then your output caps charge and when you reconnect POW. Don't do this, if a wire comes loose turn it down and start over.
Buy a PS with a low ripple/noise and good voltage/current/load stabilization to start with, but you still need to know how these crude supplies work and safeguard your diode with the proper procedure, such as turning all pots all the way down and turn your PS on unconnected, then set your threshold voltage by driving a short and start with your current turned back down, then connect observing polarity and chase your small voltage increases with current increases until your current is in regulation where you want it and back your voltage down so it is also limited, but as the diodes resistance can change with heat these power supplies are ok for testing but not meant for unattended driving and you must follow procedure each time or you can easily blow your laser diode.
Using a PS like this to hunt through unknown diodes is not recommended unless you know what you are doing, and even then you can blow them easily.
This is not a full tutorial, just a brief insight, so use at your own risk.
p.s As Alaskan said, never start with your load connected and your PS turned off, you will blow diodes, establish a max voltage driving it shorted to meet your diodes threshold, and then back your current down before connecting your load, then increase current slowly until you see it wont take any more at that limited voltage, then slowly chase current increases behind voltage increases, in effect you are part of the regulation as resistance can change and crude power supplies are not meant to be drivers on their own, and even when your current and voltage are both limited you can not switch your diode on/off with the PS switch, always turn the current and voltage back down to zero before you disconnect then follow procedure when testing the diode again, do not switch with the PS, they can and will spike and POP your diodes.