The best shield from concrete donkeys is.. Bubble Trouble,
the donkey bounces on the bubble a few times before detonation. :D
Plus its better if you dont have an roof nearby and better that an stackful of griders (works for about 2 times only).

I think everyone knows that already, but thanks anyway.

Nonsense! The best form of protection against a Concrete Donkey is a grenade, obviously! :o

The other way of escaping the donkey is to hide under a mountain.

I tried Defending myself from the dreaded concrete donkey myself, in Worms 3D, with the freeze weapon. presumably it works the same with bubble trouble.