• With: Megyn Kelly

    This is a RUSH transcript from "The O'Reilly Factor," December 13, 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, we have a lot to talk about, beginning with the terrible ordeal of 27-year-old, Jon Hammar.

    He is a former Marine Lance Corporal from Florida, now incarcerated in Mexico. Mexicans put him in prison after he registered an antique gun with the U.S. Border Patrol.

    Then he crossed into Mexico. Apparently, the Mexican authorities saw the paperwork and immediately arrested Corporal Hammar on gun charges. That was four months ago and he's still in prison. Senator Bill Nelson from Florida said this.

    (BEGIN VIDEO CLIP)

    BILL NELSON, SENATOR, FLORIDA (D): Bring this marine home, Mexican government. And now that you have a new president just installed in Mexico, the relations with the United States are especially important to treat the United States citizens who are peaceful in their intent, innocent in their observation of the Mexican laws.

    (END VIDEO CLIP)

    O'REILLY: All right. Here now, Attorney and Fox News Anchor, Megyn Kelly, as we look into this story. This is really ridiculous, right.

    MEGYN KELLY, FOX NEWS ANCHOR: Totally ridiculous. Why didn't they just turn him away at the border. Just send them back over the border --

    O'REILLY: All they had to do was that. Because he was taking the antique gun to Costa Rica to go hunting.

    KELLY: Right.

    O'REILLY: Now, that wasn't smart move on his part. And I've said this many times, if you go to Mexico, don't do anything, don't take anything, don't drive there, just fly in, go to your resort hotel --

    KELLY: You know what --

    O'REILLY: -- and get the hell out.

    KELLY: -- I mean, you really have to think -- don't bother going until Mr. Hammar gets out of prison.

    O'REILLY: Well, I don't think anybody should go anyway. I just said it like that.

    KELLY: You know what, I'm just saying, this guy serves our country honorably, gets honorably discharged. He had to go on a post-traumatic stress disorder treatment, which he did because, you know, his buddies had gotten killed during service.

    He gets out of that and he goes just to have a surfing trip, just to have relief.

    O'REILLY: Yes, just to go down and have a little fun. And these guys --

    KELLY: He registers a gun. It's not like he's trying to pull a fast one.

    O'REILLY: Right. KELLY: He registered it with U.S. Customs. And, now, the Mexicans say, "That's it. You're going immediately to jail." Here's the irony about it. OK, so, what has our State Department done.

    Well, we've made a few phone calls. The parents are very upset that the U.S. Consulate hasn't done more. But, really, typically, the way this works is our State Department calls their State Department.

    And then it funnels on down the line until they get to the local police and they s state police and they say, "Don't be ridiculous."

    This isn't one of those situations where somebody goes hiking over and then accidentally crosses into Iran.

    This is Mexico. That's an ally of ours --

    O'REILLY: OK. Well, here's -- let's just cut through it --

    KELLY: -- wait. We give them hundreds of millions of dollars a year, Bill. Why isn't it just a phone call.

    O'REILLY: Let's be honest. They disrespect us all the time, Mexico, all the time. Number one, Hillary Clinton should be involved in this herself. We haven't seen any sign of that.

    Number two, President Obama should be involved. We haven't seen any sign of that.

    Number three, the new Mexican President Nieto, I think his name is, all right. He -- there's no way that this guy shouldn't let this marine out tomorrow.

    Christmas is coming up. We called the Mexican Embassy today. Those people are totally chaotic.

    KELLY: They're very busy.

    O'REILLY: They don't know what the hell is going on. They don't care, all right. So, I think, now, we're going to have to squeeze. We're going to have to put pressure.

    KELLY: Here's the irony. Here's the irony, Bill. Let me just -- let the viewers know. So, we have this $1.9 billion assistance program that we help Mexico with to fight their war on drugs, among other things.

    And we've been sending down like, money, for Blackhawk helicopters and so on. But, recently, our effort has shifted to more of a law and order assistance program.

    And we have had -- the head or the Former Director of Colorado's Penitentiary system has trained more than 5,000 Mexican prison officials in recent years.

    Mexican jurors are running mock trials with visiting American judges. And what are they training for? To try our marine. I mean, it's ridiculous.

    We're going down there to revamp their law and order system. And who are they going to use it against. Not their own cartel members but our military.