Step One

Create a new canvas
size: 500×500
background: black
Resolution: 72 pixels/inch
First, render some difference clouds (filter–difference clouds) and repeat this 5 times.
This is what you will have. (see left)
Step Two

Next, run a wave filter (filter–distort–wave) with the following settings:
Number of generators: 5
Wavelength: 10 - 150
Amplitude: 5-38
Scale: 100-100
Undefined Areas: repeat around edges
Type: sine
And repeat this 4 times, and you should get the image shown to the left.
Step Three

Now, using the chrome filter (filter–sketch–chrome) with the following settings:
Detail: 0
Smoothness: 10
Your image will now look something like that shown to the left.
Step Four

To get the ‘exploding’ effect, use the radial blur filter (filter–blur–radial blur) with the following settings:
Amount: 75
Blur Method: Zoom
Quality: Best (good if your computer can’t cope with best)
Now effectively, you are done, but if you want it to look better, keep on reading..
Step Five

Create a new layer (layer–new layer) and choose two colors that you want your explosion to be (I chose #FF0000 and #00FF00), then render some clouds (filter-render–clouds). Next, set the blending mode to overlay, this should look pretty good.
Step Six (Optional)

If you want the colors to be a bit more blurred (so they don’t look like clouds) I would use the radial blur again - there you have it, a nice explosion type effect!
Conclusion

Here is my final result, I also added a 105mm prime lens flare (filter–render–lens flare) with 50% brightness to enchance the ‘exploding’ idea.