The offices of an ethnic Turkish party were also badly damaged.
Two people were slightly injured in the explosion which blew out windows in the building, which houses the offices of a number of ethnic Albanian and Serb political parties.
Bernard Kouchner, chief UN administrator in Kosovo, blamed the explosion on the "enemies of democracy".
UN police and Nato-led K-For peacekeepers cordoned off the area after the blast at around 0930 local time (0730 GMT),
Office destroyed
The blast destroyed the office of the ethnic Bosnian SDA party on the first floor of the block.
The offices of an ethnic Turkish party were also badly damaged.
"I was just entering the corridor when I heard a big explosion. I have no idea who is behind this," said Turkish People's Party official Nebahat Doean.
The building is administered by the Organisation for Security and Co-operation in Europe (OSCE), which is preparing to supervise Kosovo's first post-war local elections, due on 28 October.
Unknown target
The official Yugoslav mission to Kosovo's UN administration is also housed in the building.
But in the absence of any group admitting responsibility, officials are refusing to speculate who the bomb was targeted at.
The OSCE ambassador to Kosovo, Daan Everts, said that "nobody was specifically targeted, there are many parties here".
However the Serbian Head of Kosovo District Veljoko Odalovic, who was in the building when the bomb went off, has been quick to blame the blast on what he called "Albanian terrorists".
Mr Odalovic said the attack also "brought to light the inability of international security forces to protect Serbian and Yugoslavian institutions."
Speaking to a Serbian news agency, Mr Odalovic added that he believed the attack is part of a wider attempt to drive Kosovo's Serb population out of the province.