The dots are moving very quickly, and although at any given time, there is only one dot per laser displayed on the wall, it appears as if there are circles and doodles and lines. The apparent shapes which are seen are due to persistence of vision. Unlike normal light, which spreads in all directions, lasers are constructed so that a laser beam travels only in a straight line. A laser beam travels in a straight line until it collides with a molecule which is large enough to interact with the light. Once the laser beam has collided with a large enough particle, it will reflect and spread in all directions like normal light.
Sound is longitudinal waves through air.
When the human eye is exposed to an image, this image is retained for a very brief period of time, even if the image is no longer there. This effect is called persistence of vision. When the setup is complete, the laser beams strike the mirrors and reflect onto the nearby wall. Since the laser beam does not collide with anything until it reaches the wall, the only evidence of the laser beams is the dots on the wall. The molecules of chalkdust, although small, are large enough to interact with the light of the laser beams.