To test whether it needs collimating itself - stick it in the focuser and look down the tube to see where the red dot lands on the primary. Then rotate the laser in the focuser through 360 degrees. If it is ok, then the dot should stay in the same place, if its not OK, the dot will rotate in a small circle as you turn the laser in the focuser.
or you can try this method:
http://www.cloudynights.com/item.php?item_id=520
I think that the orion one does have three collimating screws, but their holes are covered with some kind of waxy/plasticky material, and I think one of the holes is under the 'don't-shine-this-in-your-eye' sticker.
Adam