power for rf module

i'm using this:
http://cal-eng.com/?wpsc-product=atmega8_8mhz

So, really, that's the whole circuit (minus the led i use to indicate that a message is received)

When I upload sketches, I connect this:
http://cal-eng.com/?wpsc-product=ftdibridge-usb-serial-transceiver

But after that, I take it out and am left with a very simple circuit.

Like I said, it works with the coin cell batteries. I had it sitting on one side of the room, by itself, blinking every time it received a message from the transmitter on the other side of the room. I just don't want to rely on those small (and expensive) batteries for this project, and I'd like to understand what's happening so I can apply the knowledge to future endeavors for ever and ever.