bear with me, this can be a bit weighty..
in a system with components that are properly sized, the total voltage drop of a system is equal to the sum of all voltage drops.
a voltage drop is usually found in the resistance of a connection. so if you have a fuse holder, a relay, and a fan, that is a lot of places for resistance. when power gets to the fan, the fan motor requires a specific wattage to turn, which is the multiple of voltage and current, if the voltage is lower than it needs, the current will be higher to make the same wattage.
resistance in a high current connection will also produce a fair amount of heat. this is likely what is melting the fuse holder.
make sure your fuse holder is rated for the continuous current draw of the fan. for a 40A circuit that should be a minimum of 10ga wire, and 40A ATC fuses are hard to find so might want to go to a MAXI type.
like dirtyrat says, make sure your relay is also rated for the continuous current, some relays that say 40A are actually 20/40, meaning their continuous rating is only 20A, for the reason explained above, the resistance with the higher current will generate heat and fail.
make sure you have great connections and seal them with tape or use weatherproof connections to keep corrosion from damaging the connection and causing a larger voltage drop.
I just bought a flexalite variable speed controller from summit, it has an adjustable "on" temp and only spins the fan as fast as it needs to. I uses a solid state relay so it is capable of running more than one fan. It wasnt the least expensive thing, but boy does it work well. With a 16" spal puller, it only runs at an extended stoplight stop.
good luck!