HID does not work
 

I performed the headlight mod on my STi. and now one of the HID is not working. Do you think I blew out the bulb? PLEASE HELP

It is very common for this to happen on STi lights when they are opened for modding. You did not reseal the lights completely, and water has gotten into the ballast causing it to be inoperative. If you're lucky you can remove the ballast, and open it up to dry it out and it may then work again. Otherwise you may need a new ballast. They're not cheap (around $300 each) so it's worth trying to dry it out first.
You will also have to open the lights up again and reseal them properly so this does not happen again.
Also note that whatever you do, you must NOT attempt to operate the lights with any of the HID components disconnected or opened. The ballast produces dangerously high voltage.

I don't know how water got into it I just did this mod yesterday, and just put them back on and one of them isn't working

Has it rained or otherwise been exposed to water? If not then you may have a different problem. Check the obvious, make sure you plugged it back in, check the headlight fuse for that side. After that try swapping parts between sides to narrow it down, bulbs first then ballasts. If you have a voltmeter it may be helpful to check for proper voltages and grounds.

When you say "the headlight mod" you mean clearing the headlights, right?