A couple of men and a woman who seem to be aliens are having sex with people in a house. The girls are inpregnanted and once they go into a fever and convulse, their whole body explodes. The aliens seemed to enjoy watching this. Only saw part of the film on Cinemax about 11 years ago.

There are no aliens, but it does sound like this movie:

Teenage Caveman (2002 cable movie)
iMDb review:
In a post-apocalyptic world, the few survivors live in huddled tribes, barely surviving. In one tribe, the ruler refuses to let the people slip into the sin that brought the old world to an end, and sex is banned. He does permit himself the pick of young girls. When he selects his son's girlfriend, David is forced to kill him to protect her and is left to die in the wilderness as punishment. His friends decide to rescue him and head off into the wilderness, where they find one of the fallen cities of the old world. Walking into it, they get caught in a storm and wake up in a modern (well, old-fashioned) apartment with a beautiful young couple named Neil and Judith. Quickly, the group discovers that the restrictions of the caves are gone and the old ways of sex, drink and drugs are the very things of daily life. However, it also becomes quickly evident that things are not what they seem.
IMDb review 2:
Neil and Judith have been genetically enhanced to withstand injury and prevent aging. Over the next few hours, the hyper-repressed cavedwellers are taught how to skinny dip, get drunk, and get high on cocaine. All the teenagers take part eagerly, except for David and Sarah, who retreat to an isolated room to fall asleep in peace. Then the remaining kids are taught how to have sex in a disturbing and uncomfortably long orgy scene. While the cavekids think they have found their haven where they may do whatever they like, it turns out that, by having sex with them, Neil and Judith have infected the kids with their own genetic mutation. The first to morph is Elizabeth, whose body cannot handle the change and explodes while Neil and Judith look on.

Teenage Caveman (TV Movie 2002) - IMDb (http://www.imdb.com/title/tt0283043/?ref_=fn_al_tt_1)