What is this little board I've found in an ATX PSU?
The two blue capacitors should be Y-rated capacitors that go between mains terminals and ground (the middle wire, possibly not used here). They should be high-reliability high voltage safety-rated ceramic types. 

The yellow capacitor should be an X-rated film capacitor. 

The toroidal inductor is a common-mode choke which has equal turns of wire on either side of the mains so that normal-mode current cancels out (so it's like a short) but it presents a relatively high common-mode impedance to high frequencies- probably some hundreds to thousands of ohms, depending on the power supply switching frequency and what harmonic you're talking about. It does not look like it would pass safety standards in many countries.  

The 680K resistor is to discharge the capacitors so you can't get a jolt from them. 

The manufacturer may have put these parts on a separate board so they can make a low-grade supply for some countries and a more EMC-compliant supply for others. 







simulate this circuit &ndash; Schematic created using CircuitLab