Correct, high explosive. In theory it would mean a much more destructive small arms round, as you see with 20mm, etc. In practical use it has never really happened (effectively) to my knowledge, with technical/safety/cost issues in the way. This has never stopped a number of companies from exploiting public interest and producing ammunition of dubious effectiveness however. This is typically done by the small, fly-by-night garage type companies, such as Blammo ammo, etc.
Perhaps the most famous related event was the use of Devastator ammunition by John Hinkley in March of 1981, in an assassination attempt on President Reagan.