This is pretty simple. This will show you how to make a super simple bomb type thing. Its actually pretty dangerous, so dont do it around people and you might want to wear gloves as it could explode as your screwing on the cap.
Step 1: items needed:
1. Bottle (different bottles have different breaking strengths, try one with a thinner layer of plastic)
2. Dry ice (Sometimes hard to find, i found mine at my local grocery store)
4. Gloves (dry ice is cold obviously)