You'll need to replace it as your current one isn't turning on. Other reasons for replacing a power supply would be that your current power supply won't meet the demands of your components, either from not enough overall wattage or the power supply is cheap or shot from excessive usage. Assuming your PC is an HP you can look for a decent replacement but choosing a power supply is important. Depending on what your PC is worth (how long you plan on keeping it until a major upgrade), what you plan on adding to it (ie: hard drive, optical drives PCI adapters) you should use a
PSU Calculator to determine what your future needs are. Then choosing a power supply, if you're looking for a cheap one i'd take special note of the reviews, a good portion of negative reviews like "PSU killed my PC or it doesn't supply good wattage/power" would be an indication to stay away from those power supplies.
If you build a higher end PC or have an expensive one a high end, reliable power supply is recommended both for performance and reliability. They're generally more expensive but essential in protecting your investment. Still want to keep special attention towards the reviews & while any power supply could fail or could cause damage to your PC parts (but more likely caused by a power surge) your reducing the chance it could occur.