Did you also see the episode of Mythbusters where they decided to find out how much polycarbonate (Lexan) it takes to actually stop a bullet? They stopped using anything related to the term "bulletproof" pretty quickly because it took a lot more material then they expected. If you watch a show on armored cars designed to be bullet resistant, there is a science to using tempered glass and polycarbonate in a dozen layers to stop bullets, mixing the qualities of the two materials to achieve the desired result.
The biggest thing with any kind of potential explosion is going to be to plan out your position to minimize the effects of the overpressure and the flying debris. The plastic is then just a secondary defense that deflects small things away from you.
DO NOT substitute acrylic because of its low cost, its not going to flex anywhere near as much and will shatter instead of deform when hit hard enough.
You will need to find a plastics shop near you, and be prepared to be shocked at the price for a sufficient thickness of the material. Your best value would be a steel blast sheild with a small polycarbonate window in a steel reinforced frame with screws around the perimeter of the clear sheet so the poly doesn't just flex and pop through.