There's no real way to disable the default explosion, but there are workarounds. The way I do it is having a really high number (like 10000) as "default" health, and if the enemy's health is actually 200 for example, then it gets added to that (10200). Every frame check if the health is less than 10000, and if so, VanishEnemy (and give the player points and stuff). The only problem with this is that destroyed enemies don't have DrawLoop called, and they can't manipulate effect objects either. There are two ways to bypass this.
1. Don't actually delete the enemy as soon as it's dead, just disable collision and set a timer. Draw the explosion graphic based on that timer and delete the enemy when it reaches 0. The problem is that homing player scripts will still home in to the enemy when it's exploding, but depending on how short your animation is, that might not be a problem.
2. Set common data, and have the stage create explosion graphics based on that common data. This is the one that I use, and it doesn't have the drawback mentioned above, but it's kind of hard to set up.