Replacement cap (filter / choke) for oscilloscope power supply
X and Y capacitors are designed especially for EMI filtering in AC power supplies.

Due to the safety issues they have to comply to some requirements from safety agencies

X capacitors are used between two lines ("across lines") and Y capacitors are used between a line and the ground/earth ("line to ground").

Here is a simple document that explain briefly : http://www.illinoiscapacitor.com/pdf/Papers/EMI_RFI_suppression_capacitors.pdf

This capacitor seems to be the same as the one which died : http://uk.farnell.com/evox-rifa/pme271m622kr30/capacitor-class-x2-0-22uf/dp/9717480  (Rifa seems to have been bought by Kemet, so don't freak when looking at the datasheet)