I recently bought a new system (Gigabyte EP45-UD3P Motherboard, Nvidia 8800 GTS 640mb ddr3, 2x 2gig Transcend ddr2 800, Core 2 quad Q8200 and a Coolmaster 650 PSU) and when I switched it on it did not do any thing...

I thought it would be the PSU, so i tested it and it blew (Well I think it did? It made a blue spark and a loud noise, which is still haunting my ears...) This does mean that it is completeley dead right? I don't want to plug it back into the motherboard and see it all be fried... Any advice or any solution?

How did you test it?
PS testers cost about $15.00.

First off it might be safer and faster to buy a new one.

To satisfy curiosity and for learning purposes, I´ll try to name common problems in ATX PSU, I repair about 2 to 3 a day and not all of them walk out working.

If you open it up and see fuses blown you must replace these. Also check the bridge or rectifiers are not blown, main capacitors are not shorted or bulging and switching transistor ( mounted on heatsink ) are not also shorted or blown, next up check secondary side capacitors for shorts, bulging or leaks. also check fast rectifier ( transistor like componentes mounted on heatsink). if all is ok and still doesn´t turn on check or replace regulator ic. Other than that you most likely have shorted winding in one of the transformers in which case your better off purchasing a new one.....

Hope this help..Good Luck!!