bulb exploded in the lamp

Hmmm...maybe you could rig some kinda vacuum hose attacment to get near the socket hole? I dunno.

Carl

Remove the bulb housing and shake out the pieces. If you can't figure out how to pull the housing, you'r probably better off to just leave the pieces in there.

This is probably a halogen headlamp. The bulb shattered from something (anything) that contaminated the surface and caused unequal expansion when it heated up. When you replace it, dip the new bulb in rubbing alcohol, dry it with a clean paper towel, and insert it without touching the glass bulb with anything (including your "clean" fingers).