Lasers do NOT project a beam. The whole point of coherent light is to keep all the photons travelling towards the destination, not stray off to be seen. The only way you are going to get a beam is to shine the laser through a misty/particle filled (like smoke) atmosphere. What you see then is the laser illuminating each particle that gets in it's way. If there is no such haze, all you are going to get is an illuminated spot on the target, not the beam bullpuckey you see in the movies.
Incidentally, Laser Devices sell lasers that have different size projected dots - I recommend the larger type for easier identification.
When talking about continuous beams and lasers, it usually refers to pulsating and non-pulsating type lasers. Pulsating lasers project a dot that flickers on and off. This does two things - it can help dot acquisition as a flickering dot can be more catchy to the eye, and it saves power by not being on all the time. It can also help you identify your laser dot from others when multiple lasers are involved. Some lasers can even be adjusted for pulse rate.
Also, I think the maximum range is much farther than 500 yards. Using my Surefire L72, I can see the dot at over a mile away if I use binoculars or a spotting scope. A high quality laser will have a well focused beam that prevents excessive dispersion which limits range. The flipside is that while you may see the dot at 1000 yards or what-have-you, the trajectory of the bullet will be such that the laser dot will only intersect at two distances dead on and anywhere before or after those spots in distance the dot will be off your point of impact. The laser is off bore axis in the first place so at closer distances you are going to experience parallax.