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Say I shot at a target for example, with a lascannon, and the target lets say a Battlewagon, was blocked partly by a group of enemy units or a building therefor getting a cover save because of the obstruction. If the cover save was failed would the shot just be ignored or would it enter into the building or units that obstruct it?????

Page 21 of the BRB explicitly answers your question.

Second column under Intervening models. Second paragraph.