I notice my lighter wasn't working, so when I check the fuse, I noticed there wasn't a fuse there. So I put in a 20A fuse. It immediately it popped. I tried it again, it popped again. Any idea what I should do?

pull the fuse???

You've got a short somewhere. Pull out all of the lighters and replace the fuse.

If it blows then you've probably got something in one of the recepticles, so check they are clean, if they are clean I'd check to see the wires are still plugged in the back, not flopping around touching a ground. If that all checks out OK then you need to start chasing wires to find where the short is.
If the fuse doesn't blow one of the lighters is causing the problem.

Mine is doing the same thing but I didn't have the problem until I disconnected it to dye the plastic pieces of the center console. So, I'm thinking I dont have something connected properly. Maybe I'll just bypass it and install a hard-wired cigarette lighter.