I'm having the same issue (one of the HIDs doesnt stay on) lights up and then dies... It seems to be the ballast thats faulty.

Check your headlight fuse, it will be blown. If you replace the fuse with the 15A, it will just blow again.

I put a 20A fuse in and the HID globe remains on, but its super bright -like when u 1st turn them on, and the ballast makes one hell of a noise. While out driving the other night, it was dropping down to normal and back up to super bright intermittently (whilst driving behind a cop no less).

Other ballast works fine.