CNN reported the gunfight was between militants and U.S. Consulate security forces.
Herat Gov. Fazelluah Wahidi was quoted as saying the blast occurred around 6 a.m. local time. It was not immediately known if there were any deaths but CNN, quoting a hospital spokesman, said nine injured people had been brought to the town's hospital.
The Taliban, speaking to the BBC, claimed responsibility for the attack. It also claimed other fighters had attacked the building.
Khaama Press reported there were a number of suicide bombers who took part in the attack.
It quoted provincial security department spokesman Abdul Rauf Ahmadi that clashes were going on between U.S. Consulate security forces and the attackers.
Taliban violence has escalate sharply in recent weeks as the U.S-led NATO forces have begun preparations to end combat operations in Afghanistan to be completed by the end of next year. Afghanistan's security responsibility has been handed over to the country's security forces.
Afghan President Hamid Karzai and his delegation were in Kyrgyzstan Friday to attend the Shanghai Cooperation Organization Summit. Karzai was scheduled to meet with presidents of Russia, Kyrgyzstan, China and Iran to discuss regional cooperation against terrorism and other regional issues.