Alright:
I cut out the render (obviously), and roughly lay them out:
Render, Explosion, then building in the background.
Then I went to make a layer mask around the render, and tried to make it as realistic as possible with the overlay - I made an overlay of brushes on each side with red, yellow and orange to make the lighting look good.
Erm... Oh yeah, I set the explosion to lighten later, and made a layer in between it and the building to include parts of the explosion I liked.
So yeah - that's what I did. Did I get the lighting ok? Or would an explosion have to get more lighting on him?

-konfusion