What is this part???

We own a '98 Sub with the 6.5 turbo diesel. While replacing the headlight lenses tonight I noticed a small metal canister about 4 inches in diameter and 2 or 3 inches long that is mounted between the battery and the headlight on the passenger side. It has an electrical wire that is supposed to be connected but mine is not. Can anyone enlighten me as to what this device is and why it might be disconnected?