That's an odd one to see, unless those urls really exist somewhre on the web. Sometimes this kind of thing can happen with incorrect relative links on your own pages. I assume you've searched your domain for bad internal links, yes?
If so, then one possible next step would be - can you find any backlinks that point to those URLs? Does any other search engine show those odd urls as being indexed?
If your server responds with a 404 status to the request for that url, and there is no place on your site that accidentally uses that url in a link, then there's nothing for you to fix - you can safely forget about the Webmaster Tools report.