I have a pair of B&W 801 Matrix 2. One of the crossovers burnt out. What am I to do?

I know you are upset but when you post please include details.  what the symptoms are you and what troubleshooting you have done.  It will help those who try to help you get the right answer.

Erik

And Geray, buck up! Speakers go bad and get repaired all the time. Save the tears for when you loose your hearing. ;)  This is just a little malfunction. 

To get an inexpensive fix, you should get to the crossover board or diagram, find the blown sucker and change it.
Sometimes crossovers are protected by large resistor that can show the damage or burning signs.

It may very well be a tweeter not the crossover. My brother had those speakers and the tweeter went out. Replacements for his were quite expensive, like $800 a pair.

Plenty of good advice thus far.  I hope you find a reasonably priced and easy fix.  

Also would help to see your system listed so we can know and admire what kind of ungodly current you've been feeding those 801's to fry the crossover/tweeter, etc. Must have been a rager of a party!