Bulb Exploded ..

The first time is always the worst.

Actually, come to think of it, I've only witnessed it once, and it actually wasn't that bad.

Fortunately it wasn't one of the 1.2kW xenons!

Most of these lights contain a trace of mercury, as well as some thallium-204 (radioactive, poisonous, see Agatha Christie's The Pale Horse, I think,) thorium-232, a small assortment of other heavy metals, and probably a whiff of Kr-85, which is a mildly radioactive beta-emitter.  I once had a more detailed "recipe" for the contents, but that's at work, and I haven't seen it in years.  Of them, Mercury is the one everyone panics about, although the thallium is likely the most poisonous. 

That said, here are the major precautions you should take.

0. Like the Hitchhikers Guide to the Galaxy says, don't panic.

1. unplug the unit.

2. once the unit is cool, open it.  Preferably not in a closed room, but doesn't need to be out-of-doors, either.

3. extract the large pieces.  Get a sense of how many pieces there are left inside the projector.

4. attempt to extract the remaining pieces. Vacuums, tweezers, lint-free cloths, things like that.

5. make sure that even if you can't get all of the pieces, they (a) aren't likely to get into any motor housings (color wheels, fans, et cetera,) the light path, or into any of the optic or imaging block.

6. install a new lamp.

7. enjoy.  Sometimes replacing a lamp can make the projector seem brighter and have better color than ever -- except it's not really "better," it's just back into however it was when you calibrated it when it was new.  Those lamps generally color-shift very slowly as they age, and generally loose reds.

Leo