I found a tutorial in one of my school books on how to make fireworks. I havn't tried it yet, but the examples in the book look good. Here it goes:
First show your brushes palette.
Select a simple round tipped brush.
Then select SHAPE DYNAMICS on the brushes palette, set jitter to about 45%, set control to FADE with a value of about 200, set your minumim diameter to 1%, set angle jitter to 100%, and control set to OFF, set roundness jitter to 40%, control to FADE at a value of 75, set your minumim roundness to 50%. After that has been done, select SCATTERING from the left side of your brushes menu, Set your Scatter to about 90%, with control OFF, adjust your Count to about 2, and your Count Jitter to about 80%, control OFF. Ok now we are almost finished with our brush. Select TEXTURE from the left side of the brushes palette. They suggest using Satin with a scale of about 65%, with a blending mode of Color Burn at 100% opacity. Finally just select your color and paint away. I hope this helps you and is easy enough to follow :P. When I get some more time, I'll try it out myself and post my results here.