Where to put the Fuse in a circuit
The usual approach is on the AC line (inserted into your N$93 net) before the bridge, which will protect the power supply if the bridge rectifier fails short.

Assuming there is bulk capacitance after this bridge rectifier, you will need to use a slow-blow fuse so that the inrush current doesn't destroy it.  If the capacitance is very large, you will want to consider an inrush-limiting circuit that initially charges the big C through a high-power R for a few cycles and then closes a relay across the R for normal operation.

PS your bridge rectifier is probably wired backwards, the +12V_PWR net will be negative with respect to the DF0-something net on the lower-right.