You have to let the bulb cool down before removing also you can not handle the bulbs with bare hands as oil spots from your fingers can make them break. Those precautions should prevent any exploding bulbs.
. Most projectors have a cool-down mode where the fan is blowing but the bulb is off - that's what you use if the bulb fails and you need to cool it in a hurry to change and get on with the presentation or big game

. If your projector doesn't have a cool-down mode, open the bulb hatch and aim any fan you have handy in there.
.bh.