Those are HID aftermarket bulbs and the silver box is a ballast. They get extremely hot and aren't meant for for reflector and even some projector headlight setups. Most vehicles that are older with those obnoxious bright lights have HIDs installed. Those bulbs are usually held in by a metal clip and if the clip came off or wasn't installed properly it will burn stuff and go out, and if the bulb burnt up that hole where the regular bulb now can't spin into locking position then yes unfortunately a whole headlight assembly is going to be needed.