Colorado police and federal investigators are trying to determine what set off an explosion - what the ATF is calling an IED - that killed a woman on the set of a cable television pilot show Thursday evening.

"The scene is being processed, and as it is an active investigation nothing is ruled out at this time," Sheriff's office spokesman Sgt. Joe Roybal said.

Terri Flanell, 51, died when two 10-12 inch long smoke bombs turned rockets launched at her going approximately 150 mph, her husband Mel Bernstein told ABC News. The first smoke bomb flew at Flanell, causing her to trip. The other flew into her neck and exited her navel, killing her instantly, he said.

"I've been running this rifle range for 30 years and no one's got hurt, because it is very safe here," Bernstein said. "Out of eight days of filming, it happened in the last 30 seconds, the last frame. And it happened to my wife."

The smoke bombs turned rockets missed Bernstein by four inches, he said.

"They were so close to my face, and if they would've hit me, I wouldn't be here talking to you today," Bernstein said.

Bernstein and his wife are the owners of Dragon Man shooting range in Colorado Springs. The taping was for an unnamed military show, set to be aired in September.

This is the second incident that occurred while filming this pilot. On Wednesday, a woman was burned and treated at Memorial Hospital and was released.

Flanell and Bernstein have run the shooting range together for 33 years and have been married for 16 years.

"She was the nicest lady you could ever meet and was very smart," he said. "I lost my best friend."