You have to create the exploded view in the assembly file. In the feature manager tree, hit the configuration tab. Right click on the configuration, and select new exploded view. This will get you started.
Are you planning to dimension all your parts on a single assembly drawing?
If you have already created your exploded view in the assembly model, add a drawing view to the drawing. Right-click on the view and you will see a dialog box for "show exploded view". Select that and you're view will show exploded.