During the final battle, Arnie constructs an exploding arrow by affixing the projectile from a 40 mm rifle cartridge. The absolutely WILL NOT WORK!

Inside the round there is a serated ceramic disk affixed by the center to a spring like rod. When the round is fired the rapid rotation caused by the rifling in the barrel shatters this disk allowing it to spin down the rod arming the mechanism. It's purpose is to keep the round inert until it is roughly 40 meters from the shooter just in case an object should be ompacted by the flying round.

As it was shown in the movie, it would have only been a heavy steel ball at the and of a stick. It would not have exploded.