What do you mean by 'set security on him'? It was a phone call?
He had Fox Security call the guy back and tell him to stop making harassing phone calls.
The person who called O'Reilly has a message on his answering machine by someone named "Tony" with the last name bleeped out, claiming to be from Fox security, asking him to call back. Who knows if the guy's really who he says he is, but it's apparently on tape, whatever it is.
He got the Fox Security to call the guy and make enquiries for making crank/obscene calls. I heard the exchange on the Radio Factor and thought O'Reilly was being more childish and paranoid than usual.