Please see the most recent updates in the "Where did the .com name go?" thread. Posts number 16 and 17.
It happens when someone has used a "Volume Shadow" material on a planar object (or at least not manifold). Some of Microsoft's own autogen stuff has these anomalies. You can follow the shadow back to the offending building and exclude it if you need to. Otherwise, turn scenery casts shadows off.
Jim