This component I think I got it from a CRT television (but also might come from a VGA card, sorry for not remembering).
It looks like a capacitor, but it does not have any Fahrad mentioning.
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It is a fuse, rated at 1-1/4A 250VAC.
Specifically a slow-blow Littelfuse 372 series.
The marking looks like:
That fits with a Time delay (i.e. slow blow) 1.25A 250V fuse.
Assuming that it hasn't blown, it should measure as a (near) short-circuit when you use a multimeter to measure its resistance.