It's a replaceable - some say rechargeable - power cell. You can see a spare on Ronon's belt in many shots, but there is as far as I can recall only one time you see him actually replace the power cell. In the tavern scene near the beginning of S2E7 "Instinct," he replaces the cell near the end of the conversation, just before he stands up.
In S4E5 "Travelers" at about the 26 minute mark, you see Shepard ask Larrin if she has more "of these," referring to either the weapon, or the power cell he removes from the depleted gun. They are both weaponless because the gun is out of power.
The show never actually shows how he replaces/recharges the cells, though. Probably for the same reason they never show the SG teams loading ammo into magazines. :)