Be doubly sure your microwave is unplugged first, of course!
Be sure the fuse is not loose in the holder.
If you can rotate it in the holder easily with just a thumb and finger, then it's too loose and the holder should also be replaced.
That looseness causes a heat buildup, which makes the fuse melt open inside over time.
If the new fuse blows as soon as you hit START then you likely have a shorted high-voltage capacitor.
If it blows again a few seconds or minutes after you hit START, then you likely have a bad high-voltage transformer or magnetron.
It's not inherently unsafe to replace a fuse, as long as you heed the safety rules. The microwave does contain and prodcue voltages that can be instantly lethal.
Feel free to see my safety info via my listing here on FixYa: http://tinyurl.com/yzjozk