"Modern small to medium size HeNe tubes require an operating voltage between about 900 and 2,500 VDC at 3 to 6 mA and a 5 to 12 kV starting voltage (but almost no current). Precise values depend on the size and construction of the tube. This assumes something in the .5 to 10 mW range. Larger tubes will required greater voltage and current (e.g., 5,000 VDC at 8 mA, 15 kV to start) but are powered in basically the same way as their smaller siblings."
there are instructions also on there for building a HeNe Power supply. You can't just throw a high voltage supply on it.
A proper power supply brick will run you $50 or less. a lab style with an Alden connector will usually cost more. But it depends on what you are driving. The power supply usually matches up with relative size. For instance a 6" HeNe would use the smallest one and a SP127 (4') or such would require a much larger one. Color of the beam (not the plasma) can influence that somewhat as well as the age of the tube can bring up the number slightly.
The most common newer HeNe lasers are 10" - 14" and can be either suspended in an aluminum tube or just the glass HeNe
Usually commercial HeNe power bricks require an input of either 12v dc or 120v ac and then will output the correct values as needed for the tube. The biggest advantage of a 120v ac HeNe brick or lab supply is that you don't need a wall plug connected first to convert the 120v ac to 12v dc
here is a typical power supply for a 6"
siliconsam (Sam Goldwasser) on Ebay is probably the most knowledgable person on earth for HeNe lasers - He wrote the laserfaq listed above.
Ultimatekaiser on LPF is extremely knowledgable also and has dealt with almost everything.
In either case - do your own research first before asking them