If you are talking about the item that has the marking "L2" (meaning inductive component 2, NOT transformer 2 as that would likely be T2 or TR2) adjacent to it and looks to have two copper windings in a side by side configuration, that is a common mode input filter and each winding is IN SERIES with the live and neutral supply lines. If you tested it like a transformer with primary pins on one side and secondary on the other.....it would appear to be open circuit. Test one pin against its partner on the opposite side....I reckon you will have continuity

L2 does not look burnt up to me.
Take alook at this page for details regarding common mode filters or just google teh term "common mode filter":
http://www.exergia.info/Lightning/lightning7.htmA failed rectifier may not be you only fault on this PSU....it's often another component down the line such as a reservoir capacitor or the switching transistor. If you are not experienced in switching power supplies, please be very careful as the voltages on the input side range from painfull to deadly. You should do some reading on SMPSU's before attempting to repair one. IMHO they are far more challenging and dangerous to the inexperienced technician than simpler linear PSU's.
Good luck
Fraser