First thing you should do is read alot, theres no point making a laser if you dont understand what it's all about, there are some really good beginer threads around (usualy stickied at the top of each different section), also when you say build your first laser do you want it to be fully DIY, or do you want to buy the already made components and just assemble them?
You will also need some tools, the most important one is the soldering iron(in my books anyway) if you dont have one get one, it will be invaluble when it comes to connecting diodes to drivers, twisted wires wont cut it.
Other tools you will just accumulate over time, if you want to get more serious.
Drivers as i stated above are used to give the LD (laser diode) the correct power so it stays stable and lives a long and happy life. There are many types of drivers and you will need to either buy the one that suits your needs or make it. Just two that come to mind are boost drivers and linear drivers.
If you came here trying to figure out how kipkay made his mini mag light laser STOP and do some reading on direct driving a diode. It can be done but only if you know what you are doing.
There is so much more on lasers that you will need to pick up through reading than just being told the answers, and these types of questions have been answered multipule-millions of times(ok maybe not that many). If you are asking a spesific question tho make sure you use the search feature first, and if you still cant find the answer ask... the members here are not going to spoonfeed you. not implying your are like that of course, just giving you a heads up.
have fun, lasers are exciting and the thrill you get when you make your first laser setup and driver is awesome.
Happy reading
p.s get your self a pair of laser googles/glasses, your eye sight is a one time thing if you lase it, its gone forever.
i didnt mean to. 
, but there are more qualified members here and they will be more than willing to help you out, just send them a PM too.
