Arduino GPRS shield caught fire

These things can be tough to track down, since the event could have been a wiring or power supply error on your part, a transient event, a flawed component, or who knows what.

Can you get a picture? It might help trace the parts in the line of fire, but other than following the directions and double-checking your work, it may not be 100% possible to prevent similar failures. Somethings things just break.