As well as shooting on soundstages at Universal (*unconfirmed!!) , the production shot a major stunt sequence right under the noses of visitors to Universal Studios Hollywood, in the 'Cinema Surface Parking Lot' adjacent to the Curious George parking structure during September 2005.
A huge glass and steel skyscraper roof section was built on the parking lot, supported by loads of steel container boxes. In the top photo you can see the parking structure on the right, with a greenscreen which will be digitally replaced with a cityscape in post-production. On the left under the 'roof' section you can see the steel containers supporting the structure.

Links:

• IMDB entry