Okay, connected it directly to the battery. It stays lit. However, when I turn on the bike and the headlights go on, the halo shuts down.

 

This sounds like a problem with the light itself. I'd contact the seller.

 

I just went out and pulled my light off because I don't remember where I ran the white wire. See pic.

I bought a Vision X VORTEX with a HALO ring. I had the same problem with where does the white Halo wire go. I have an 07 Street Glide and I connected the white Halo wire to the RED wire coming out of the bikes headlight wire harness. Using a posi tap is easiest but just tap into the red wire and your all set.

The HALO is bad ***, I don't have mine set up as a DRL though, mine runs constantly with the headlight on.

 

Hope this helps.