Well as Mahmood said
the caps are connected in their reverse polarity i.e. +ve to ground and -ve to -ve voltage.

take a case of a +&- 5 volts regulated supply.
There will be three tapings on the transformer
say 7-0-7 now first 7-0 will go to one rectifier bridge
and will be used for generating regulated +5V may be using 7805 here the input filter cap connected across the pins 1&2 of 7805
1 (input) +ve of cap
2 (ground) -ve of cap
3 (output)

But in -5V generation the second taping is used 0-7
this is will be given to second rectifier bridge and will be used for generating regulated -5V using 7905
here the input filter cap connected across pins 1&2 of 7905
1 (input) -ve of cap
2 (ground) +ve of cap
3 (output)

Actually if you see the cap is connected in its correct polarity as the ground is more positive than any -ve supply.

sachin