I suspect the problem is in not setting a starting-point key-frame. What I've had to do is add the explosion modifier to the object at frame 1. Set the completion to zero. Move to the point you want the explosion to begin. Set completion to about 20%. Make sure a new key-frame has appeared in the time-line. Once the key-frame has appeared, reset the completion to 0%. Then, move in the timeline to where you want the explosion to be complete, and set completion to 100% (or however much you want). - Chip