When you pick up an object the object won't be charged. Throwing it normally by pressing j (light attack) won't affect it. But you have to press K (the heavy attack button) will cause it to be thrown with an energy aura and expode on contact.
Exact instructions are on the character menu. When you have a character and their menu opened up, the fourth tab (after powers, costume, and gear) has xp, health, and stuff. Right at the bottom there should be something called energy charge. I believe left control or some button will give extra info and exact instructions.