You probably need either a ferrite bead or an inductor to slow down the current surge. That is probably what blew the capacitor. Have you measured the surge current? What about the peak voltage? You need to find the source of your surge and then you can attack the problem, but a lowpass inductor circuit might do the job.
Hope this helps.
DAB
What is the sensor connected to ? From your scope trace it looks as if you might have a rather inductive load but a ciruit is needed. 500uF across the sensor terminals is rather more than I think you would need but it shouldn't blow up. Was it the right way round and rated for the applied voltage. If the scale on your plot is seconds then your unwanted spike is about 1mS long - ferrite beads aren't going to help and I think you may have too much inductance not too little.
Michael Kellett