I'd be inclined to go with what Barry said - it's fairly easy to inadvertently put a two-leaded cap in backwards, which would cause immediate failure on power-up. I'm sure it's happened to all of us here - even me, more times than I can remember, mostly due to being in a hurry. Don't rush things, and always thoroughly check the polarities during and after installation.
Besides backward installation, the only things that should cause immediate failure of a new, presumably good and properly rated cap, are polarity reversal or over-voltage due to another circuit failure. For example, a shorted rectifier can make it reverse, or a failed series dropping part upstream can allow excessive voltage.
Good luck.
Ed
