Vekkao :
The surge protector was indeed on. The protector is actually in the wall, well, it's hooked up to be on the wall, in a sense. Everything else is plugged into it, and it works just fine.
Some background on hardware. Normal is for a defective part (ie PSU, disk drive, etc) to work just fine even when defective. For example, that PSU could have been defective when purchased. Still boots a computer. But that defect would be obvious in minutes with a meter. Just one example only as an example. Since maybe 100 other possibilities exist.
Only useful fact is that something exploded and a smell was observed. Others then used wild speculation to accuse a capacitor or some other specific part. It could have been most any part - hundreds - including a bleed down resistor that one would never notice until a powered off and unplugged PSU shocked him.
Generally a part that makes a loud noise and smell has a visual indication. But sometime such events cannot be seen without a magnifying glass or something equivalent. It could even be a part located underneath another part on the motherboard. Only useful reply is that something has failed - most anything in that computer - not just a capacitor.
Nobody has any reason to even suspect a surge. Or that the protector did anything useful. An adjacent protector, on the other hand, can even make appliance damage easier.You have no reason to believe the protector did anything useful. Even reputation of a PSU is bogus. The most likely reasons for failure is always a manufacturing defect (from the best and worst manufacturers).
Did you examine every part inside the PSU including those held in place by all that goop spread over many parts? Did you know some parts inside that PSU can harm a human if its bleeder resistor failed? Did you know what to short out before touching anything inside that PSU?
And again, a defective PSU can still boot and operate a computer. And maybe cause other problems months later. Some parts only do functions after power off, only during an initial power on, or (for example) to protect AM radios and other appliances from interference. Meaning no one can suggest a solution without hard facts. Only useful recommendation is to suggest what to inspect and how (ie with your nose or a magnifying glass).
You know the smell. Best chance of finding that tiny defect is (unfortunately) close examination with your nose right down on individual parts - including motherboard and peripherals. Or using a magnifying glass to inspect everything. You know something burned. That is a fact made obvious by both sound and odor. Currently that is the only known fact. So every part remains suspect.
Good luck on that search.