Depends quite a lot on where you are talking about, Africa being quite a large continent and all! White settler states (like Kenya or Rhodesia) obviously required more white living areas than those colonies where Europeans only numbered in the hundreds (like the German territorial possessions in West Africa, such as Togo).

In the Southern colonies, there was often some overlap with existing African settlements. Bulawayo, for example, was originally the capital of the Ndebele kingdom, conquered by the British settlers in 1893 after the Ndebele monarch, Lobengula, torched his own capital as he fled a military advance by the white settlers, the British South Africa Police, and some elements of the Cape Colony's military. This is a photo of a Ndebele settlement in the 1890s - guBulawayo would have been significantly larger.

Fort Salisbury, which would later become Salisbury, and is now the capital of Zimbabwe, Harare, was however, the exact opposite. It was founded in 1890 by a Lt. Tyndale-Biscoe, who arrived some 8 miles from his original destination as picked out on a map and decided that the spot he found would do instead. There was no substantial African settlement located nearby, but several small villages within the vicinity.

The Portuguese, who tended to establish colonial settlements on the coast, preferred to do so wherever there was a suitable location to do so - however on the east coast of Southern Africa in what is now Mozambique, the Portuguese found they had little choice but to settle in areas where African societies already resided, seeing as the Africans had picked such locations for precisely the same reasons that the Portuguese would - access to food (fish, grazing land), safe harbour, and beneficial weather conditions. There is a really great article by Pual Jenkins on the establishment of the Portuguese colonial cities here - in fact that whole book (Capital Cities in Africa: Power and Powerlessness) is pretty great and worth a read.

Obviously, generalising is not only difficult but misleading as the establishment of most major colonial settlements took into account a whole variety of factors, including existing trade routes, the security such establishments would have (it is no coincidence that the British settlements in Matabeleland and Mashonaland were called Fort Victoria, Fort Salisbury, etc), and most importantly land suitable for arable farming, or cattle grazing (two different requirements). It also depended heavily on the intent of the colonising power - like I mentioned earlier, were they looking for large-scale white migration into the area, or were they simply looking to use the colony as a source of labour or materials? In the latter case, it was often easier to simply replace or collaborate with the existing African authorities in which case they capital city would usually remain the same (looking at West Africa in particular here!).

If you have any other questions, or have somewhere particular in mind, ask away!