To be honest, I would be very surprised if the motherboard is taking out the PSU (assuming of course that the PSU is compatible with that particular system). Troppo is right about PSUs having internal fuses, however whether the fuses are replaceable depends largely on the quality of the PSU. Many cheap ones do not have fuses which are easily replaced. Whats more, the burning smell you said you experienced doesn't really tie in with just a fuse blowing. If the smell was definately coming from the PSU then it's probably toast. It is also entirely possible in this case that the motherboard will have been damaged as well.
Before you do anything else, I would suggest you inspect the mains cable that was connected to the PSU, especially of you used the original cable when you swapped the PSU. If in doubt, or if the cable has a molded plug on it, then swap the cable for a known good one.
If the cable seems ok, then there may be a problem with your neighbours wall socket or some other part of the ring main. I would suggest to be on the safe side, that the next time you plug the computer in, do it in your own house instead.
If all of this checks out, then I guess it is possible that both PSUs were faulty
One last thing - if you do decide to open the PSU up to check for fuses etc, please be very careful. Even when the PSU is completely disconnected from the mains, it's capacitors can still retain a massive amount of charge.
Let us know how you get on