I just installed a chandelier which is a 4 arm with 40w bulbs. After putting bulbs into chandelier, I turned on the light switch and one bulb exploded. Glass went everywhere and we saw fire and smoke come out. I replaced the bulb that exploded and turned the light on and off several times and none have exploded again. Could I have installed the chandelier wrong or could there have just been a faulty bulb? I don't want a fire to start in the middle of the night.

Faulty bulb.