I find the best way to learn how to make any effect is to first make it in 3Ds Max. I have known 3Ds Max, before I even knew what computer programming was. So, in Max you make the effect by doing this:'
1. You make a a paper think cylinder
2. Apply a material the color you want it to be to it,but make sure the material has a high self illumination
3. Apply a glow effect to it that is about the same color as the material.
As far as the cylinder goes, I would see if there is a way make a variable that holds the end vertices position information, that way it is scalable. Try and make the cyclinder in 3ds max or maya or whatever you use and export it to *.X . I am not too sure about making the material in XNA, maybe make a texture in photoshop and apply it. The glow part I know for sure there is a tutorial on making that effect, I just read a tutorial on it and will put up the link. Once you make the "basic" laser, if you want to go even more hardcore, you could apply fall off