According to the NYT, the case began when Spitzer's bank filed Suspicious Activity Reports (SARs), which are forms that banks file with the IRS following certain supposedly suspicious activity by their customers.  It's illegal to leak the contents of SARs. 

There, in the Hauppauge offices of the Internal Revenue Service, investigators conducting a routine examination of suspicious financial transactions reported to them by banks found several unusual movements of cash involving the governor of New York, several officials said.

The investigators working out of the three-story office building, which faces Veterans Highway, typically review such reports, the officials said. But this was not typical: transactions by a governor who appeared to be trying to conceal the source, destination or purpose of the movement of thousands of dollars in cash, said the officials, who spoke on condition of anonymity.

The money ended up in the bank accounts of what appeared to be shell companies, corporations that essentially had no real business.

The transactions, officials said, suggested possible financial crimes — maybe bribery, political corruption, or something inappropriate involving campaign finance. Prostitution, they said, was the furthest thing from the minds of the investigators.

Soon, the I.R.S. agents, from the agency’s Criminal Investigation Division, were working with F.B.I. agents and federal prosecutors from Manhattan who specialize in political corruption.

The inquiry, like many such investigations, was a delicate one. Because the focus was a high-ranking government official, prosecutors were required to seek the approval of the United States attorney general to proceed. Once they secured that permission, the investigation moved forward.

http://www.nytimes.com/2008/03/11/nyregion/11inquire.html?hp=&pagewanted=print

The law enforcement officials certainly should not be leaking the entire case to the press. That's a very bad sign of misconduct.  But leaking the content of SARs is very clearly illegal.
More on SARs here:

http://www.irs.gov/businesses/small/article/0,,id=154555,00.html
Suspicious Activity Reports

Money Services Businesses Can Help Fight Money Laundering

Suspicious Activity Reports (SARs) are one of the government’s main weapons in the battle against money laundering and other financial crimes since these reports generate leads that law enforcement agencies use to initiate money laundering investigations. Many individuals launder money to conceal illegal activity, such as drug trafficking, health insurance fraud, tax evasion, and even terrorism. It fuels criminal conduct, allowing drug dealers, smugglers, terrorists, arms dealers, and tax evaders to maintain control over their proceeds and ultimately to provide a legitimate cover for their sources of income. Law enforcement officials estimate that such individuals yearly launder 1 to 2 trillion dollars worldwide through different types of financial institutions and businesses.

One of the types of financial institutions money launderers use are the Money Services Businesses (MSBs) that issue, sell or redeem traveler’s checks or money orders, transmit money, or exchange currency. Since they are targets for money launderers, the Bank Secrecy Act requires MSBs to file suspicious activity reports with the U.S. Department of the Treasury’s Financial Crimes Enforcement Network (FinCEN). Check cashers and sellers and redeemers of stored value are not required to, but may voluntarily file a SAR.

When to File a SAR

An MSB must file a SAR when it knows or suspects that:

The funds come from illegal activity or disguise funds from illegal activity;
The transaction is structured to evade BSA requirements or appears to serve no known business or apparent lawful purpose; or,
The MSB is being used to facilitate criminal activity.
There are two different dollar thresholds that require a SAR. They depend on the stage of discovery and the type of transaction involved. A $2,000 threshold applies if a customer is conducting or attempting to conduct a transaction(s) that aggregates to $2,000 or more. A threshold of $5,000 applies for transactions identified by issuers of money orders or traveler’s checks from a review of clearance records. These thresholds are known as the $2,000 front door/$5,000 back door rule. The $2,000 front door transactions are face-to-face with the customer. The $5,000 rule applies after the records have been processed at the issuer level, thus the back door.