We have conducted experiments to study the melting fragments from explosively shocked melting Pb targets. Based on the traditional Asay-Window technique, Asay-F-window was designed, which is suitable to investigate high-density melting fragments of metal sample. The areal mass and volume density of melting fragments from the Pb target were presented, which is also compared with that of micro-jetting and solid spallation. The results may contribute to the understanding of physical mechanism and construction of dynamic model for melting fragments. Additionally, the Asay-F-Window technique is an effective supply for proton photography technique to study the dynamic fragmentation of melting metal.