Smoothing capacitor burns out while I am trying full wave rectifier
The voltage you are measuring without the capacitor is the average DC level. However the capacitor must withstand the maximum AC level, which is 1.414&times; the average.



As such your capacitor needs to be rated at least double your DC voltage, i.e. 50V. However, to account for tolerances and aging 75 or 100V would be even better. 

The cap also needs to be in the right way around.



The capacitor is charged to the peak level every half cycle of the AC and the ripple is caused by the capacitor discharging through the load. Notice, in the image above, the average DC level is now higher than without the capacitor.

Note: With no load to drain the capacitor it will charge up to the peak level and stay there with virtually zero ripple. As such you can expect to measure close to 32.5V across the capacitor with your multimeter with no load.