I have just moved to Germany and have installed 2 outside lamps (brought in Germany)

I connected them up (including the earth) and when putting the power back on and flicking the switch, they burnt for about 2 seconds and then blew out. The fuse did not trip or anything like that, just blew the bulbs.

I noticed that the cable for outside was thicker than the inside one for lights (rather than having loads of very thin wires within the sheath, there was 1 thick wire).

Also, not sure whether its important but the earth connects to the lamp fram which is metal, which connects to the wall, which is metal. Also the bulb looks to have a resistance to 230V (I think this is normal out there).

Any ideas of things I can check as trial and error is expensive for halogen bulbs... and my temper is already tried!
Thanks

Have you checked what voltage the lamps are rated for compared to the supply voltage? Thick wire and thin wire is irrelevant to voltage, only to amperage.