You have to put the CD in the boom box for it to play a tune, because in real life, if you try to play a cd with no actual cd, the boom box gets worn out and eventually breaks. On the tama, though...maybe not so eventually.
Hm, I've noticed that happening to me a lot before. It doesn't always explode, but whenever I tried it it did. Now I just never buy CDs because I think they're a waste. xD