Most Xentecs have this problem, you either have one of two issues. Yours came already with the prongs inside a small black piece or second you put the prongs into the black piece. Either way this black piece does not fit onto the factory harness is most cases.
The problem i believe your having is where in the pic the factory harness and ballast connect, with yours theres a black piece. it looks like this:
In order to fix this you will need to break the black piece using a small hammer and plyers. First try to just pull the prongs out of the black piece by grasping where the prongs turn into a wire going to the ballast and then use plyers or your other hand on the black piece and pull opposite ways. If the black piece was already connected usually in the case of the slim ballasts there will be a rubber piece that needs to be removed, it simply can be ripped off.
Now once the prongs are exposed plug them into the factory harness they should sit snug in there. Fire up the HIDS to make sure you got the + and - connections right then turn them off. After that get some electrical water resistant tape and tape them tightly together.
Enjoy your HIDS!
For more Info or help see the full write-up with this solution in it:
http://www.nicoclub.com/articles.php?id=425766