depends on the fuse, most are automotive type, as long as the size is right and the amperage is correct it is safe to change.

most smaller fuses are a glass tube with a small wire inside soldered to two metal poles, others are like 2 metal tabs held appart by clear colored plastic and again a "wire" bridges the gap this wire overheats and burns when the load is greater than it's rating instead of having the current burn other components.

you can tell it's burnt because the metal part that links both poles of fuse has melted and no longer bridges the gap.