That should not have happened, period. Even if he had the meter set to amps (thus acting like a short across the 220 line), it should have just blown an internal fuse. Maybe popped a sort of scary arc at the probe tips. But explode like that? No way. Something was seriously wrong with the meter.
It could be a cheap and/or non matched fuse. In low-line DMM there is no fuse on 10A line, in better ones there is fuse, usually 5x20mm or (better) AG3 size. In some circumstances those fuses can explode really nasty. Just take a look here
http://www.tequipment.net/FlukeFuses.html#8
Good Fluke fuses are bigger, rated up to 1000V (instead of 250V) and costs more than cheap DMM. And are really fast-acting.
So, if you want to use cheap DMM for high currents measurement take one with fuse and upgrade it with a better, fast-acting, ceramic high breaking capacity fuse. Just for your safety.