There isn't [much of] an explosion with rockets. They are [mostly] kinetic energy weapons. A GMLRS is fired way up in the sky with a HIMARS launcher system, and then down to the ground - usually through a roof of a building. It will fragment upon hitting the ground floor, hopefully taking out a couple of the internal load-bearing walls.

It [primarily] creates an implosion, not an explosion, which is why it's such a good weapon system for reducing collateral damage in an urban warfare setting. You can level a building and barely scratch the exterior walls of the building right next to it.

EDIT: Modified the portions in square brackets. I stand corrected - there is a small explosive charge on the ends of the rockets.