This is a RUSH transcript from "The O'Reilly Factor," February 02, 2012. This copy may not be in its final form and may be updated.

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O'REILLY: Thanks for staying with us. I'm Bill O'Reilly.

In the "Kelly File" segment tonight, Attorney General Eric Holder once again called to testify in front of a congressional committee today over the Fast and Furious gun scandal. In addition, the family of Brian Terry, the Border Patrol agent who was shot dead with a gun, involved in a federal government sting, may file a $25 million wrongful death lawsuit against the feds. What a mess.

To sort it all out, Megyn Kelly. What happened today?

MEGYN KELLY, FOX NEWS ANCHOR: Eric Holder went before this House committee and was grilled once again about what he knew and when he knew it and where is the accountability for this Operation Fast and Furious.

This time, as in the five times prior, there has been no direct evidence linking him to the scandal, but they're trying to figure out who - - who approved this program, Bill.

O'REILLY: They still don't know who approved?

KELLY: No. He still doesn't. He still says, "Well, we're still investigating." Who approved it? Who's behind it? Who signed off on it? And these lawmakers are saying it's been 13 months just since Brian Terry's died. I mean, that's just since he died.

O'REILLY: Right.

KELLY: When the operation was uncovered. Why don't you know that already?

O'REILLY: Right. OK, so let's just recap. This is the fifth time they called Holder up.

KELLY: Sixth.

O'REILLY: Sixth time, and they want to embarrass Holder. That's why they're doing this.

KELLY: That's what he says. He says this is political.

O'REILLY: And it is. Let's be honest: it's a political thing, because they can't advance the story. It's the same story. They call him up. Holder says he doesn't know. Six times. He looks like a schmoe. Right?

KELLY: They are grilling him over the non-production of certain documents. They say they say -- they say that...

O'REILLY: Yes. Well, they've already issued a letter...

KELLY: Right.

O'REILLY: ... saying if you don't come up with them -- they don't have to pull him into that. They already sent him the letter. He's going to be contempt with Congress. Come up with this stuff. So it is political. And I'm not saying that in any other way than the truth. But Holder looks like he just doesn't know what he's going on in something that is vitally important.

KELLY: He says -- he says he's appointed the inspector -- to ask the inspector general of the DOJ -- that's the person who investigates things like this -- to investigate this, to get to the bottom.

O'REILLY: But it doesn't take 13 months.

KELLY: Apparently he thinks it does. And he -- Holder says today he does not believe the American people have lost faith with him, and that they know it's political and that this is basically a witch hunt.

O'REILLY: All right, but let me stop you there. OK. So that's Holder's position. They're trying to get me because I'm Democrat and I'm close to Barack Obama. But if the Perry family files a $25 million lawsuit against the Justice Department -- that's where it would be directed -- then Holder is going to be deposed.

KELLY: No, he's not.

O'REILLY: No? He's going to be able to shield him from a deposition?

KELLY: It's going to get thrown out of the papers (ph).

O'REILLY: Really?

KELLY: Yes. I think, as a matter of law, that claim will fail.

O'REILLY: Why?

KELLY: Because first of all, the government has immunity in all but very limited cases.

O'REILLY: Just like judges, right?

KELLY: Yes. And doesn't look like one of the cases. Because we want to protect our public officials...

O'REILLY: Politicians. Right.

KELLY: ... from getting sued, because you and I pay for that.

O'REILLY: And they'd be sued every hour on the hour.

KELLY: Exactly right. All right, so that's No. 1.