Step 1: Recall the composition of emulsion explosives.
Emulsion explosives consist of an oxidizer solution dispersed in a fuel phase. The oxidizer is mainly ammonium nitrate dissolved in water.
Step 2: Identify the sensitizing agent.
To make the emulsion explosive sensitive to detonation, hollow micro balloons (or glass microspheres) are added.
Thus, the mixture consists of
\[
\boxed{\text{Ammonium nitrate, water, and hollow micro balloons}.}
\]
Hence,
\[
\boxed{(D)}
\]
is the correct answer.