In this tutorial I'm going to show you how to make a nice explosion effect.
1. Make a new picture in 400*400 pixles. Restore the backgroundcolors by pressing "D". Then make a new layer by pressing "Shift+Ctrl+N". Fill your layer with black.
2. Use the "Polygon Lasso Tool (L) and make a figure like mine below.
3.Go to "Filter - Disort - Ripple" and apply the settings like this.
4. Now go to "Filter - Blur - Radial Blur" and apply this settings.
5. Your picture should look something like this now.
6. Rightclick at your layer and choose "Blending Options" and apply this settings.
7. Finished ! Your explosion effect should look like this now.
Congratulations! You've now made your own explosion effect.
More Tutorials: 
I can't seem to get the polygon lasso bit - my effect is within the lasso shap I am using CS3