Can you post a photo or schematic of your wiring, and a link to the fuse you've got? There's almost certainly something more going on here.
Many fuses need 200% their rating to burn.
Also there are 'slow blow' and 'fast blow' fuses.
It's pretty simple, but sure, its just power going into my multimeter and then through the fuse which I short.
I want to add a fuse to my project to protect against a short.