The projector can never explode, but cheap build quality projectors can catch fire if used for a very long time without breaks. There is nothing used in the circuitry of the projector that has the property to explode, but it can overheat. This overheating can cause a fire. The fire too will not be hazardous enough to be scared of. You can use a normal fire extinguisher to extinguish it.  But you can prevent the fire by keeping the projector cool.