You can use the tikzmark library; the idea is to place some marks at the desired locations and then to use those marks to have pointers for the explanations:
\documentclass{beamer}
\usetheme{Madrid}
\usepackage{tikz}
\usetikzlibrary{tikzmark,positioning}
\begin{document}
\begin{frame}
\begin{exampleblock}{Baye's theorem}
[
\tikzmark{ptd}p(\theta, |, D) = \frac{\tikzmark{pdt}p(D,|,\theta) p(\theta)}{\tikzmark{pd}p(D)}
]
\begin{tikzpicture}[
remember picture,
overlay,
expl/.style={draw=orange,fill=orange!30,rounded corners,text width=3cm},
arrow/.style={red!80!black,ultra thick,->,>=latex}
]
\node<2->[expl]
(ptdex)
at (2,-2cm)
{Some explanation};
\node<3->[expl]
(pdtex)
at (6,3.5cm)
{Some other explanation; this one is a little longer};
\node<4->[expl]
(pdex)
at (9,-3cm)
{Some other explanation};
\draw<2->[arrow]
(ptdex) to[out=100,in=180] ([yshift=0.5ex]{pic cs:ptd});
\draw<3->[arrow]
(pdtex.west) to[out=180,in=180] ([yshift=0.5ex]{pic cs:pdt});
\draw<4->[arrow]
(pdex.north) to[out=90,in=180] ([yshift=0.5ex]{pic cs:pd});
\end{tikzpicture}
\end{exampleblock}
\end{frame}
\end{document}
An animation of the result:

Update
If, for some reason, the tikzmark library is not available and no overlays are wanted, use
\documentclass{beamer}
\usetheme{Madrid}
\usepackage{tikz}
\newcommand\tikzmark[1]{
\tikz[remember picture,overlay] \coordinate (#1);
}
\begin{document}
\begin{frame}
\begin{exampleblock}{Baye's theorem}
[
\tikzmark{ptd}p(\theta, |, D) = \frac{\tikzmark{pdt}p(D,|,\theta) p(\theta)\tikzmark{pt}}{\tikzmark{pd}p(D)}
]
\begin{tikzpicture}[
remember picture,
overlay,
expl/.style={draw=orange,fill=orange!30,rounded corners,text width=3cm},
arrow/.style={red!80!black,ultra thick,->,>=latex}
]
\node[expl]
(ptdex)
at (2,-2cm)
{Some explanation};
\node[expl]
(pdtex)
at (4,3.5cm)
{Some other explanation; this one is a little longer};
\node[expl]
(pdex)
at (9,-3cm)
{Some other explanation};
\node[expl]
(ptex)
at (8,3.5cm)
{Some other explanation; this one is a little longer};
\draw[arrow]
(ptdex) to[out=100,in=180] ([yshift=0.5ex]{ptd});
\draw[arrow]
(pdtex.west) to[out=180,in=180] ([yshift=0.5ex]{pdt});
\draw[arrow]
(pdex.north) to[out=90,in=180] ([yshift=0.5ex]{pd});
\draw[arrow]
(ptex.east) to[out=0,in=0] ([yshift=0.5ex]{pt});
\end{tikzpicture}
\end{exampleblock}
\end{frame}
\end{document}
The result:
