Why do microwave ovens, with metal walls, not blow up?
Metal in a microwave is really not a big problem. The walls of every microwave ever made are metal, the window contains metal mesh, mine has a metal shelf and a metal base for the turntable.
The general guideline of "do not put metal objects into a microwave" does make sense - metal in the oven has to have a certain shape, size, alloy, distance from other pieces etc. or it will really do unpleasant things like arc and get dangerously hot. The rules are complex and as the average microwave oven owner doesn't have a post-graduate degree in physics with at least a minor in high-energy radio it's just easier to say "no metal."
People who really do know better will also know that they can ignore the note on the box, but the lawyers can point to the note on the box after your attempt to home-sinter aluminum powder burns the kitchen down.
The metal walls of the microwave oven reflect the microwave radiation.
A metal object in the middle of the microwave field can do several things. It could reflect the radiation like the walls do. That's bad if there is nothing else in the oven to eventually absorb the radiation. All that microwave power ultimately has to end up somewhere. It's better for the oven if it ends up heating your food. Even if there are absorbers in the field, the reflections will make the field uneven, creating hot spots and cold spots.
A metal object could absorb some of the radiation itself, depending on the impedance of the material at microwave frequencies. That would heat the metal object, which could possibly heat it higher than the temperature the floor of the oven is intended to handle.
Depending on the size and arrangement of metal objects, they can act as antennas and generate significant potential. I have seen small metal objects arc to each other.
All in all, your microwave oven is intended to heat water molecules. Any deviation from that will make it less efficient, and possibly cause problems to the oven, depending on how much expense was put into protecting itself. These are high volume consumer items, so I don't have much confidence that quality was a high design priority. They probably did the absolute minimum they felt was necessary.
When they say "don't put metal objects in a microwave" what they really mean is "don't put the food in a metal container." Obviously the container will reflect the microwaves and the food won't cook.
Now here's the problem. If the energy is not going into the food, it has to go somewhere. In general you should not operate a microwave without food in it, and equally you should not operate a microwave with food in a metal container.
Someone I shared a kitchen with once tried to cook a burrito wrapped in aluminium foil in a microwave. The burrito was unable to absorb the energy as it was shielded inside a very effective Faraday cage.* As a result, the plastic lining of the microwave was the next thing around that could absorb the energy, and it melted. Despite the damage, the microwave remained functional.
It's certainly possible that a metal object could act as an antenna and generate sparks, but I wasn't present when the event happened, so I cannot say if there were any. I can say there was no localised charring as you might expect if there had been sparks.
*if you're not familiar with the term Faraday cage, it's just a posh name for the (theoretically) perfect shielding an object gets from being fully surrounded by a conductor. http://en.wikipedia.org/wiki/Faraday_cage