In this paper, we present a marching-on-in-degree(MOD) finite difference method(FDM) based on the Helmholtz wave equation for analyzing transient electromagnetic responses in a general dispersive media. The two issues related to the finite difference approximation of the time derivatives and the time consuming convolution operations are handled analytically using the properties of the Laguerre functions. The basic idea here is that we fit the transient nature of the fields, the flux densities, the permittivity with a finite sum of orthogonal Laguerre functions. Through this novel approach, not only the time variable can be decoupled analytically from the temporal variations but also the final computational form of the equations is transformed from finite difference time-domain(FDTD) to a finite difference formulation through a Galerkin testing. Representative numerical examples are presented for transient wave propagation in general Debye, Drude, and Lorentz dispersive medium.