First thing I would check is to see if your game has the correct fuses installed in it. Make sure they are the right amperages for the pariticular "line of voltage" they are protecting. If somebody before you put a larger fuse in than needed, then you are no longer protected. We would rather have a fuse blow then have another coil burn up.
Next thing i would look for, with power off and main outlet plug removed from any wall outlet, is for broken wires near or on the coil that died.
Is the coil in the backbox(head of the game), or in bottom of the cabinet? If so there is typically paper stapled near those coils or stickers on them telling you what it is used for.
But as Mitch1985 said, you will need to find the short causing the coil to burn up before replacing with a new one.