The threads aren't held in by anything and just backed out of both sides. I'm guessing there is some kind of contact problem but I can't find it. Any ideas?
It probably is a contact problem, since your module is not held tightly enough on the inside..
I've seen this laser powered outside it's enclosure, and there is a gap, that needs to be filled for this to work.. Inside the enclosure, the contact is created by the enclosure itself, but maybe there is something wrong with yours...
You could try filling that gap with a piece of wire, and try it then.. The person who tried this, left the wire inside for a better contact, so why not..
I'll go search for the pic, so you know what i mean....
This is the gap i was talking about..
And this is how you fill it:
Try it, and let me know if it works...
BTW: I heard some of these don't have this gap and some do, but if yours does, it could be the source of the problem..
The pics were made by Benm on LPF:
http://www.laserpointerforums.com/forums/YaBB.pl?num=1193766153/30
Another problem could be a badly soldered switch, which is also discussed on that thread.. In that case you can simply resolder the switch..
This is what the switch resoldering looks like (by Knimrod in the same thread):
If none of this helps, you should return the lasers and ask for a replacement.
If it does help, let us know.