Hi pyroboy!
The component that are marked as capacitors are probably ferrite beads and they are used as filters but there is two disc ceramic capacitors one each side of these beads, if there is a white ring around them it is diodes but I can't see any on the picture,
The black thing is an inductor probably used as filter too, together with a capacitor it will make a lowpass filter, maybe for the dc voltage into the pcb.
A small high voltage transformer like that is not easy to wind, you'll need a very very thin wire