The trigger guard mount lasers (like the ones available for the LCP) and the rail mount lasers, are adjusted with two tiny allen head (hex head) screws, usually one in the side and one in the bottom, of the laser housing. The one in the side is usually left-right (windage) and the one in the bottom up-down (elevation). Any time you remove the laser from the firearm, it's probably going to need to be readjusted.
Not sure how the rest of the world adjusts them, but assuming the iron sights are adjusted correctly, I set the laser to match the iron sights at about 35 feet, and then I keep in mind that it will be slightly high closer than that, and slightly low farther away than that. If you think your attacker will be at a different distance, adjust for that distance, and remember closer high, farther low.
Then go to the range, compare iron and laser, and adjust if needed.