Fuses and fuseholders aren't polarised, but as Ken said (though he got it the wrong way round), there may be a right way and a wrong way to wire it, if the fuse is connected in line with the mains (line) voltage or any dangerous voltage.
If it is, connect the incoming voltage to the side contact. Then, when the user fits the replacment fuse and pushes it into the fuseholder and it makes contact with the spring at the end, the fuse will not be live and he will not get a shock. The live part makes contact with the metal on the inside of the screw-on cover, and that's insulated, so you can't touch it.