I have read the KonoSuba Light Novel upto Volume.8 and also the Explosions aka Bakuen spinoff. In the start of the spinoff the writer mentions about a woman who used explosion in front of Megumin. After that she practically fell in love with Explosion magic and eventually learnt Explosion. Does the main series or any of the spinoff tell about this anonymous woman. If so, tell me where?
Volume 9 of the light novel (Kurenai no Shukumei, or "The Crimson Fate") covers this backstory. We learn that the person who taught Megumin explosion magic is the evil goddess of Sloth and Violence, Wolbach, who also happens to be a general of the Demon King's army.
We actually encounter Wolbach in episode 9 of season 2 of the anime (Kono Fujō na Onsengai ni Megami o!, or "A Goddess for This Corrupt Hot Springs Town!"), or equivalently in Volume 4 of the light novel (Namakura Karutetto, or "You Good-for-Nothing Quartet"). When Kazuma goes to a mixed bath in Alcanretia, he encounters a man and a woman there.
We learn in the next episode that the man is a general of the Demon King's army, the poison slime Hans. The woman happens to be Wolbach, though this is not revealed then.
Wolbach does not reappear in the series in any significant manner after Volume 9, although at the end of Volume 9:
It is hinted that Wolbach has been absorbed into Chomusuke, who is actually her other half.