I was reading about shadow volumes on Wikipedia and there was something I don't quite understand. Near the end of the article in the "Optimization" section the article says: "accompanied by a viewing frustum that has a far clipping plane that extends to infinity". How can I have a far clip plane that extends to infinity? Does this just mean use a really really far clip plane and pretend it's infinity?

that just means the far plane is not used for cliping.
you can do this by modifying the projection matrix (playing with homogeneous coordinates).
more infos here : http://www.terathon.com/gdc07_lengyel.ppt

It's very easy, grab the standard projection matrix formula and compute it's limit when the distance to the far plane approaches infinity. It's usually not a good idea to do this though, because it greatly reduces your effective z-buffer resolution.