The max current draw is 25mA, I'm a little unsure what does means.
It means that you need a power supply (or batteries) capable of delivering at least 25mA (which almost any power supply can) and since that's the maximum it can be used to calculate "worst case" battery life.
Does it mean it will be fried if more than 25mA is flowing through it??
The only way you'll get more than 25mA is if you over-voltage it. The current is determined by the load ([u]Ohm's Law[/u]).* i.e. A 100W / 120VAC light bulb "draws" about 0.8 Amps. A 1200W hair dryer draws 10 Amps.
An LED (or a "raw" laser diode without a power supply) is non-linear (the resistance changes with voltage) so you need a constant-current source, and you can easily fry an LED or laser diode. The laser with it's power supply is probably somewhat non-linear too, so that you get approximately the same light output when the voltage varies (as long as the voltage remains within spec).
so just to clarify, if i wear to use 9V battery to power my laser, i would use 25mA to find the resistor necessary to drop the voltage to a value i needed?