HID wiring problem - please help. Build goes out when engine starts.

I have HID's fitted (H7's) but have a problem:

Initially I thought it was a blow bulb but I've replaced it and it still doesn't work.
I also changed ballast and this doesn't help.

Then I spotted an extra box that the ballast connects to which I didn't have on my previous HID kits, so I bypassed this and reconnected the bulb without going through this box, which worked, the bulb came on.
Although it only works with the engine off! As soon as I start the engine the bulb goes out. Turn engine off and the bulb comes on again (after turning lights off and on again).

Does anyone have this box with their kits? What's it for?

Here is a picture showing the extra box that the ballast connects to:


So, any ideas anyone? Is there something in this box that has 'blown' that's preventing the bulb from coming on now?
Why doesn't the bulb stay on when I start the engine?

For now I have put standard H7's in and tied up the wires until I know how to fix it. The standard bulbs work fine (with engine running too woo!)

 

So this then?
http://m.ebay.co.uk/itm/330799517416?nav=SEARCH

 

Unless I'm missing something, all the complete kits come without the extra box I'm describing. In any case I have a working ballast and bulb already.

Anyone else got an RS250 with HIS's that needs this extra box?
Like I said, it works without connecting to the box but goes out when I start the engine.

A new HID kit will not help with this issue surely?