Hi Golfdude,
Sorry to hear about your HID problem.

Perhaps if you had a better understanding of what you are up to you will be able to make a better choice as to what to do, and can help your friends who follow you in putting a cool headlight system on cars.

Here's how High Intensity Discharge systems work:

HID uses a little bubble of gas (Halcyon gas), instead of the filament used in standard headlights. This lets us get the same amount of light we get from a filament, while dissipating only 35 watts of heat instead of 55 watts (a lot lower temperature).
One of the differences between the filament and the Halcyon gas is the filament can work on low voltage, and the Halcyon gas needs HIGH voltage to create an arc (like a welder uses). That's why a ballast (transformer) is used with HID. It steps the voltage up, like the coil does for the spark plugs, creating the arc (hence all the warnings on the ballast label!).

The Illumination Control Module in your CF measures the amount of current the headlamp filament allows to flow in the headlamp circuit, and can then determine if the headlamp is working properly or not (not just on or off).
As the filament fails the amount of current it allows to flow goes down, and the Illumination Control Module, sensing this lower current turns on your dash light to let you know something is wrong.

I can't look into the Illumination Control Module to determine how low the current must fall to make it think the filament is not working right (and turn the dash light on). But as Intenseblu pointed out, because the HID system you installed allows less current to flow than the filament does (because it needs less current to generate the same amount of light), the current is sufficiently less, in your case, to convince the Illumination Control Module to think a filament failure has occurred and turn on your dash light.

Putting a resistor in series (in-line) is not the answer.
If a resistor is placed in series with the ballast output, the voltage of the arc will decrease and the light intensity of the arc would decrease as well.
If a resistor were placed in series with the ballast input, the amount of current allowed to flow in the input would decrease and reduce the ballast output voltage, again reducing the light intensity.
This would also, as you might guess, reduce the amount of current in the headlamp circuit, (the amount of current the Illumination Control Module is measuring), and make your problem worse.

Putting a resistor in parallel, (or across) the ballast input would be a better choice as this will allow more current to flow in the headlamp circuit.

Please do not make the mistake of adding a resistor in parallel with the output of the ballast. Due to the high voltage there, the power dissipation would be huge! Also, this could damage the output of the ballast.

I would start with a 150 ohm, 2 watt resistor. You can find one of these at Radioshack pretty cheap. If one resistor doesn't do the job, add a few more, one at a time, to allow a little more current to flow, until your dash lamp goes out.
The resistors will, as Intenseblu points out, dissipate wattage (warm up). Two watts each is not very warm, so don't worry about heat. But try to keep the resistors out in the air so they can cool properly.

Of course, as mentioned earlier, you could always remove the light from the dashboard!