Sounds like the caller said something obnoxious that the audience didn't get to hear, thanks to the delay that all call-in shows use to defend against malicious callers.
Savage would have heard the full statement in his earpiece, then he (or a show's engineer) would have hit the "mute" button in time to cut off the call's time-delayed audio from being aired in its entirety.
From what *did* get aired before it got cut off, it was clear that the caller was switching subjects in the middle of the sentence in order to try to sneak in a statement before anyone could catch it. He was clearly trying to pull a fast one of some sort.
To be fair to Savage, MSNBC should really have found out what the caller had said -- Savage's retort may have just been in kind. I often hear his radio show since it plays when I'm often driving home from work, and I've never heard him actually wish death on someone who hadn't already been *WAY* over the line themselves in attacking Savage or America.
Sorry. That's no excuse. He's not at home dealing with a prank caller, he's on the air. I have said it so many times, and people don't listen: