Just as it sounds, these are metal rods (or plastic rods with metal electrodes attached) that are inserted into the pony's urethra and fixed in place as part of a pony's harness. The rod is attached to a controller that can administer a low current electric shock via a remote controller (most common) or a controller attached to the pony. These are similar to an electrified butt plug but are significantly more effective in providing a pony "motivation" to behave. Moreover, many ponies that have an electrified urethral rod also have an electrified butt plug.
Aside: JG Leathers used to make some pretty cool ponyplay tack (I was fortunate enough to be able to buy some from him a decade ago), and he incorporated some fancy options, including an electrified urethral rod, into his modular harness designs. He's still around and has a website, but alas, I don't think he sells equipment any longer.
Non-electrified urethral rods also exist and are sometimes used in ponyplay. These provide a very intense sensation, much more so than a butt plug. However, non-electrified urethral rods are the same as closed off catheters, so are not really a separate class.
Electrified urethral rods are probably the most effective way of controlling a pony (male or female). They should always be used with caution and never be abused (too much).
You can buy electrified urethral rods from:
Note that, as with most eletrical toys, you will need to have a power supply (e.g. the Electro-Stimulation P.E.S. Power Box or the Eros Tek ET232) to deliver power to the urethral rod. Power supplies are relatively expensive (~ $200 - $500 USD), but they can be used with many different electrical toys (e.g. electrified butt plugs, electrified cock rings, an electrified speculum, etc.).