New bulbs sometimes don't last long if they have any oil or dirt on them to begin with before you install them. Sometimes you can't even see the dirt or the oil but it's enough to cause the glass to overheat once your headlights warm up. Also, it should go without saying ( and surely you already know this? ) that you can't touch the new bulb with installing it or the oil from your fingers will overheat it to.
You might also have moisture or dirt in your headlight assembly that's causing this. Make sure everything is good and clean in there and that your headlight assembly is seated securely and isn't moving around while you drive.