They're bluffing. The UN building is in New York.
Also, for those interested, here is some additional info from the Northeastern Intel Network. (NOT associated with the US gov. homeland security dept, note their website is homelandsecurityus. com, NOT .gov -- just to clarify for people who aren't familiar with them).
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http://www.homelandsecurityus.com/ GENERAL: As recently published in the London-based Arabic daily Al-Quds Al-Arabi, a videotape montage in production by high level al Qaeda operatives is in its final editing stage. The release of this videotape is expected to be broadcast after a "deathblow" is delivered within the United States, allegedly scheduled to take place by 2 February 2004. This videotape should not be confused with the last montage created and distributed in mid-December. Additionally, intelligence obtained and analyzed found credible evidence that the "deathblow" will involve a much larger number of terrorist operatives, most if not all who are already living in the US, and consist of a series of concurrent attacks at strategic and symbolic targets in the US. These strikes are expected to be focused on the US infrastructure as well as targets of high symbolism. Reoccurring targets include New York, Washington DC. Los Angeles CA and Las Vegas. Other major metropolitan areas have been routinely mentioned. "Demands" have already been made to a number of news agencies such as Al Jazeera to air the videotape when instructed. Below is an Arabic reference to the "deathblow," citing Osama bin Laden's will to fight the US until it is destroyed. The image below, widely circulated without the scrolling text, is reported to be included in the new videotape.
This is what they are reduced to, silly, hollow, threats. If they had a nuke their target would be D.C., not NYC.