Steven W. answered 02/14/17
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To add just a bit to Arturo's splendid answer, the only condition required for conservation of momentum is that no net external force act on the system of interest. If we were to consider ONLY the solid rocket body and the unexpended fuel as the system, then we would not expect momentum to be conserved, because a net external force acts on that system. That force comes from the expelled gases pushing (in a Newton's third law scenario) against the rocket. This is why the rocket, and unexpended fuel, move upward. But, if we rope the expelled gases into the system with the rocket, then the process of them and and the rocket pushing on each other becomes internal, and we consider no NET EXTERNAL force to have acted on the system in the moment (gravity technically does, but that does not change the conclusion over the instant being considered). Therefore, as Arturo succinctly stated, the total momentum of the rocket and expelled gases system will remain zero.
Caitlyn L.
02/14/17