example: Lets say a ranged speacialist hollows out an arrow head. He then fits inside it an expanding tag. In a fight he shoots someone in the leg with the same arrow. The wound is not very significant due to where it hit the leg, however when he activates the tag inside of the unlucky persons leg... The metal expands, and breaks in several places causing it to splinter out into the wound. This would cause more damage to the surrounding tissue, and make it much more difficult to remove every bit of the arrow head.
ofcourse there is no real explosion, and the steam has no more effect once it leaves the area it is trapped in. This is meant to make ranged attacks slightly more damaging, and harder to recover from. It should also be noted that only very skilled weapon makers are able to design ranged weapons that can use this method effectively.