My rockets are going through buildings?

Hi the problem im having is that when my airplane is firing rockets, the rockets cant collide with anything in the world i have created, they just go through the walls. This is the script i have on the rockets. The rockets are rigidbodys.

var explode: Transform;

function OnCollisionEnter(collision : Collision)
{
    Instantiate(explode,transform.position, transform.rotation);
    Destroy(gameObject);
}

Try setting up some rigid body physics for the building's as well, which would also keep the character from walking through them as well.

If you're firing a rocket, it may be that the rocket is traveling too fast to hit the building. So if it's going at a couple hundred feet per second, the frame where it would collide with the building is not ever actually hitting. If that is the case, try using a Raycast to detect collision.

http://www.youtube.com/watch?v=5pflkVNRvBc&feature=related