from what I understand this is the mystery of the Alfred P Murrah building bombing. There was never any conclusion as to how the torpex acting as the primary explosive was obtained.
I seem to recall reading that McVeigh broke into the storage magazine(s) at some local rock quarry and stole dynamite and blasting caps, which would be plenty to set off his home made ANFO (actually ANNM IIRC, but I digress). Guess I'll have to do some research to confirm my memories.
