What is that orange cylinder thing that lights up in front of my computer?

Question

it also clicks when the light is on

Answer 1

When that's lit up or blinking very fast that means that your processor is doing work. If it is off your processor is all but idle, and if it appears to be steady on your processor is currently handling a very heavy load.  

Answer 2

Well, from your extremely limited description, my only guess is that its your harddrive read/write light, hence the clicking.