Most of my bulbs have lasted for years of printing sessions (2 or 3 at least and I usually got to print at least once a week). I did have one bulb blow the same session it was put in, though. I'd guess it might have been dropped before I got it or something. I tend to order them in groups of 4 or 5 to stock up in case they get the axe.
Are you sure you had the right bulb and the right electrical "stuff"?