Here is a lower-poly way of doing it, more friendly to slower computers:
-Load all of your jpegs as images into your program.
-Create a ghosted plain and set object orientation zyx
-When there is an explosion, place the ghosted plain at that point, and apply the first texture image, and make sure to show the object.
-Every loop, point the plain at the camera (point object objectnum,camera position x(),camera position y(),camera position z()), and texture it with the next image (you will need a variable that keeps track of the texture currently on the explosion)
-When the frame of the explosion is at the highest, hide the object.
This is the method I used for my explosions in Firewall, but I have more than one that the program keeps track of, and I also added shockwaves, smoke, lights, and debris to make them look really cool.
Good Luck
Xander Moser of Bolt Software
Firewall: Your Computer's First Defense - Real Time Strategy game