I know this movie was set around Thanksgiving and that there was a scene showing a school play where the children who were dressed as Indians were torturing the children dressed as Pilgrims and the parents didn't seem to notice. I also remember a building exploding and a woman that looked like Sharon Stone riding in a limousine or a black car.

I could be wrong but it sounds like Addams Family Values the second Addams Family movie. The children are sent to a camp and they have a Thanksgiving play that the Addams children tear up... hope this helps