You need to get a multimeter and find out what the voltage is at the receiver. The only way I can imagine a servo would burn up immediately like that is either plugging it in backwards or its getting to much voltage.
Was it a brand new servo?
Which servo was it exactly?
is the internal BEC on the ESC set higher than what the servo was rated for? If you dont know what that means the get a multi-meter and see how much voltage your receiver is putting out to the servo channel on the receiver