of course it burns, that laser diode only withstands small values of current. How much is your power supply when you jam it to the laser diode terminals? Use a resistor in series, usually 1kΩ works fine for most off-the-wall dc power supply.
Buy a phototransistor then if you can't find a good LDR. You can google for those projects with those keywords, LDRs, photodiodes, laser diodes and op-amps. I'm not googling them for you, no offense. That module thingy is not loading properly in my netbook, I can't view it.