HID Relay Harness???
 

So after installing my new headlights I ended up with this wire set
on the website it said that this is a HID RELAY HARNESS... Why do I need it? I mean I hooked everything up to the stock connectors and everything seems to be working great except for the one HID bulb that burned when I installed it but other than that Right side HID words all High beams work and all Halos work just fine.

http://www.xenongate.com/images/relay.jpg

Well generally speaking, the purpose of a relay is to avoid routing all the power you're using to run your lights through the switch. This is both safer and provides more juice to whatever you're powering. In this case I think you should be fine, because there is already a relay in place for your headlights. If I'm wrong hopefully one of the other guys will step in here and lay the smack down but I think you should be fine. Post some pics!

Are you running 35W or 55W?

I believe if you're running 35W, the electric does not recognize the HID system as stock halogen lights have an output of 55W. There will be times that the light would not turn on until several tries due to the electrical output issues. In which, this is when the relay comes in handy. However, running relay/harness on our cars will set off the "headlight sensor".

If you're running 55W, there should not be a problem at all.

Hope that helps.

Im running 35w HIDs and after installing them one of them turns on and the other does not could this be what you talking about??? The passenger HID is working just fine... Highs working just fine and halos working fine, just the drivers side wont come on. I mean before i installed new headlights HID were working great.
P.S- if you chance + - will that cause HID bilb to burn? because i think i did that on the drivers side

I don't think having the positive touching the negative will cause it to burn out. Not with the voltage the car is putting out. Did it ever come on at any point when you installed it?

Try switching the bulbs from one side to the other.

It could also be the ballast that's busted. Hopefully it's only the power issue I mentioned above though.

Ohh i hope its not the ballast because i already ordered new HID bulbs.
Whats more likely to burst? Ballast or Bulb???
And no I dont know if it came on at all i turned the switch on came to look and nothing was happening.

I would say bulbs are more fragile. It is as sensitive as a single touch with an oily/greasy hand to burn them out. However, it's always possible that the ballast is the cause.

Try switching the lights on and off couple times and see if the light comes on.