My light always burn out when I turn them on

@thulanemosia first you want to make sure that you have the right light bulb for your lamp as well as for your standard household voltage. If you are sure that you have the right bulb, you will need to check the bulb socket. It is possible that your bulb is actually creating a short circuit (which will then immediately burn out the filament of the bulb) when you screw it into the socket. Remove the lamp form the power supply and check the two conductors. There will be a center one and the other one will connect to the threaded part. Make sure that they are no loose and/or accidentally touching etc. Always make sure you disconnect the lamp from the power line.