"Explosive" bullets are not per se explosive. One method commonly used is to take a hollow point add a small amount of mercury in the space and then seal the tip using either a lead or brass plug. When the bullet hits something the point expands and flowers out releasing the mercury that then causes the "explosive" effect.
These along with hollow points, cross hatched and, other similar rounds are strictly prohibited by various laws of war. Of course, this likely didn't stop some soldiers from making and using their own.