We've recently had a couple of questions regarding how to author and publish your own 3D buildings that you can use in Explorer. It's simple to do --  author your map using ArcGIS Desktop, publish/serve it using ArcGIS Server, and then connect to the service to begin using it in Explorer. Here's how it's done:

Step 1: Author your map

Since what we want to author is a 3D service, we'll choose ArcGlobe as our authoring environment. ArcGlobe is part of the ArcGIS Desktop 3D Analyst product. Here we've started ArcGlobe, and have added our shapefile of building footprints, which in this case covers downtown Boston. We've zoomed in to those buildings, and removed the Continents and World Image layers (which are part of the ArcGlobe startup data) since we won't need them.

Next, we'll change how the buildings are symbolized. One of the buildings layer attributes is elevation. A handy technique to come up with some interesting visualization effects is to shade the buildings using the elevation attribute and using graduated colors. You can experiment with various color ramps and schemes. The more subtle light-to-dark single color ramps are perhaps more realistic, but here we've chosen a wilder color scheme for added drama.

Since we want to publish a 3D service, next we'll click the Globe Extrusion tab in the layer properties and extrude the buildings, using the elevation field again as the extrusion values.

We're now finished authoring, and will save our map which we have called "Boston Downtown.3dd."

Step 2: Publish your map

The next step will be to publish our newly authored map using ArcGIS Server. Your exact procedure for doing this may differ (due to firewall configurations or whether you have to work with other departments - like your IT group - to publish something) but in the simplest case you're literally just a mouse click away from publishing a 3D service.

Here we've started ArcCatalog directly from ArcGlobe, and navigated to our previously saved ArcGlobe map (Boston Downtown.3dd). To publish this map we simply right-click it and chose Publish to ArcGIS Server.

A wizard will allow you to specify the server, the name of the service, and it's folder. Here's we've just accepted our defaults. After this step, click Next to review your results, and we're finished.

Step 3: Connect

We've now completed both the authoring and publishing, all we need to do now is connect to the server and add the service to our Explorer map. Here we've started Explorer, and zoomed in to the Boston area using the Place Finder task. Next we choose Open, then Servers, and enter the URL to connect to the server that is now publishing our new Boston Downtown 3D buildings.

And here's how things look in ArcGIS Explorer. 

We've taken the simplest path to authoring and publishing a service, but as you can see it's easy to do and took less than 10 minutes. You may want to refine your map service by adding scale dependencies or other layers during the authoring process, or by generating Server cache at specific scales. Refer to the ArcGIS Server documentation for more information on these topics.