That’s the ballast resistor, and only on the older model of the laser power supply as another reader mentioned. The problem is that it isn’t rated for an appropriate voltage - its rated for 1000V (see datasheet - http://www.micro-ohm.com/power/pwrrx20.html) when its getting a much higher voltage across it. Is it arcing to the case or across itself? You may be able to tightly wrap it with some Kapton tape to improve the situation.