Like Charles Bronson said in the movie Death Wish as he was laboriously hand loading and filling his own explosive bullets with mercury "Nothing's too good for my friends." I guess you'll just have to make some yourself - that is if you can't locate any “Devastator” bullets which use a lacquer sealed aluminium tip with a lead azide centre designed to explode on impact. These were used in John Hinckley's attempted assination of Pres. Reagan, back in 1981.http://www.hi-vel.com/Catalog__24/Devastat...ammunition.html
Other primary high explosives that can be used in the manufacture of explosive projectiles are mercury fulminate, lead styphnate and tetrazene. Mercury fulminate is the easiest to make yourself, requiring only mercury and nitric acid, however it is the least stable and most sensitive to shock, making a low-tech bullet that explodes easily on impact. However, aged rounds may go off in the magazine due to recoil of previous rounds fired, ruining your whole day. If you have a little more technical savy, I would suggest drilling an oversize hole in the projectile (from the front or point of the bullet) coating the sides of the hole (not the base) with several layers of a more stable primary high explosive mixture. Then place a losely fitting steel rod in the hole (like a needle bearing) and cap with a steel plate or a large bore primer, epoxied in place. I hesitate to give more exacting instructions over the internet.
Disclaimer: This information is for educational purposes only. Please don't attempt to actually construct such a device as it is illegal and could cause serious bodily injury or death. B)