what blew out?

replaced a blown 4a/125volt fuse with a 4a/250volt fuse on a very old integrated amp(supplier was out of the 4/125) thought it might work. It didn't and I got a cripsy smell and a whiff of smoke when I plugged it in. A small looking tube-like thing about the size of single long grain rice but with two tiny wires coming out on either side to attach the motherboard (?) lit up and blew out. How do I replace it? Will I need to solder the connections? Of course I will place the correct fuse in there too.
Can you send one of us a pic?
The fuse replacement didn't cause your issue. Fuses can be replaced with different voltage ratings (same or greater) as long as the amperage stays the same. It is the current draw that blows the fuse. Something blew the fuse the first time. They don't blow for no reason.
It sounds like you have blown a small resistor or a diode. Finding the value and/or type of each will be problematic.
Also, I doubt that is your "True" problem. Generally, when a small component blows, it was caused by a bigger component down the line. When fuses blow, it's generally a power supply or output transistor problem. It needs to go to a shop.
I didn't think there was a difference in a 125 vs 250 volt fuse. Learn something new every day...