This effect is first seen at the beginning of E1L1.MAP when Duke's vehicle goes down in flames and then explodes. Check out my tutorial map, DUKECAR.MAP to see it in action. It is extremely easy to do, and looks very cool.
Place either the car (#2491) or the helicopter (#1346) where you want it to start. Raise it to the height you want it to start at. Change it's angle so it faces the direction you want it to move. When the game is started, the car/helicopter will move forward and slowly lose altitude until it automatically explodes. Note: Make sure your car/helicopter has enough room to move before it explodes. Otherwise, it will hit a wall and slide down it until it explodes (which looks very unrealistic).