This is a rush transcript from "On the Record ," August 1, 2008. This copy may not be in its final form and may be updated.

JAMIE COLBY, FOX NEWS HOST: Right now, police are searching for missing Caylee Anthony, but today they were also searching for something else at Caylee's grandmother's house.

I'm Jamie Colby. I'm in for Greta Van Susteren tonight. Good to have you with us.

Earlier today, police collected two bags, and they were filled with evidence from Cindy Anthony's house. The big question: What were they looking for, and what did they find?

Police earlier today speaking about the case.


CARLOS PADILLA, ORANGE COUNTY DEPUTY SHERIFF: There were some items that they felt that was of interest to the case. However, we're not going to able to discuss as to exactly what was removed. But as you noticed, Mr. Anthony went with the detectives over there, and again, indicative of the cooperation the family is having with us.


QUESTION: (INAUDIBLE) questioning that you had this morning that you decided to go there?

QUESTION: Are there any more searches that'll be around the Anthonys' house that you're aware of at this time?

PADILLA: As the investigation goes on, anything that we need to do, we will do. If there's any more searches, then we will do that. But at this point, right now, I don't know that we have any more searches to be doing at their house.

QUESTION: The items were taken from inside the house (INAUDIBLE)

PADILLA: I believe it was from outside the house, maybe somewhere in the back. I'm not exactly sure exactly where.

During the conversation with the Anthonys, things do come up sometimes, and there was a need to go back there and retrieve these items. But again, Mr. Anthony was very cooperative. And as you know, like I said before, he was with us and it was not a problem for us to go to the house.

QUESTION: The Anthony family (INAUDIBLE) research and found nine different Zenaida Gonzalez. Have you searched through all those names?

PADILLA: No, we were aware that there was quite a few. As a matter of fact, early on, that's one of the things we talked about. People came to realize that the name Zenaida is not as unusual as some people thought. And we did start talking to quite a few Zenaidas, and like I said before, we spoke to a Zenaida. We just haven't been able to see and locate and speak to the Zenaida.

QUESTION: What about the issue of immunity? I mean, has there been any situation with the attorney, the discussions between your department and them to try to get information on the board about immunity?

PADILLA: We would not be in a position to offer immunity. That's something that would have to be with the state attorney's office. I know that when the detectives did try to speak to her, there were some conditions that the lawyer wanted. And of course, he's doing his job. He's looking out for the interests of his client. And so at that point, we felt that nothing was going to come out of that conversation, so that's when we went ahead and just continued with our investigation.

QUESTION: Can you talk about the conditions (INAUDIBLE)

PADILLA: I don't know exactly what was said. And again, we're not in a position to offer immunity. That's something that the lawyer would have to sit down with the state attorney's office. And if he feels that there's a need for that, he would have to make that offer to the state attorney's office, or that request.


COLBY: Now, the question of immunity is interesting. We're going to talk about that with the panel coming up. But first, what about this surprise search at Caylee grandparents' house today? "On the Record" producer Steph Watts was on scene just as investigators arrived at the house. Steph joins me live now from Florida. Steph, what did you see?

STEPH WATTS, FOX PRODUCER: Hey, good evening, Jamie. It was -- you know, it's, like, when you're out here covering these stories, you wait and wait and wait, and you're waiting for something to happen. All of a sudden, in sweeps these teams of CSI, crime scene investigators. They came, pulled up, two sets of cars. They opened up the garage, went into the garage and retrieved items from the back yard.

Watch the interview

Now, we're not exactly clear what they got, Jamie, but from what we understand, they removed items from one of the sheds in the back yard. Now, these sheds -- there's several sheds in the back yard, as you see from the video that we have. These sheds have been an area of interest because remember, earlier on this week, we learned that there was a report from George Anthony of a break-in in the shed a couple of weeks ago and -- sorry. That was a couple of weeks in June. And there was gas cans removed from the shed. So we're unclear what they got, but they did come out with several bags of items that they felt were of interest to them in the case.

COLBY: So at a minimum, we know that they previously came when there was an incident report, George Anthony reporting that Casey or someone had stolen gas cans full of gas from the shed. We also know, Steph, that they have taken soil samples, and they may have come to retrieve more of those. What's the connection, potentially, between soil samples at the house, and, let's say, the car that they impounded of Casey's or any other evidence they might already have in their possession?

WATTS: Well, from speaking to investigators, what I understand what they would be doing is they would be taking soil samples from the back yard and comparing it to soil samples they would pull from the car, from perhaps the shovel that they're testing, as well, tire tracks in the car, mats in the car, in the back seat.

What they can tell from soil samples is -- it's a very different type of soil in Florida that you would have in a swamp area, different types of plants, different types of soil, than would be in the back yard of a house like this that would be landscaped with, you know, the typical kind of soil that would be around a house. So there's a very big difference in those two types of soil, so that's what they would be looking for.

COLBY: All right. Remind our viewers about the shovel.

WATTS: Sure. Casey borrowed a shovel. We don't know the date of it because the date has not been released, but she borrowed a shovel from a neighbor. No one's really talking about the shovel. The investigators aren't talking about it. All they've told me is it's a key piece of evidence and it is being tested forensically at the lab, along with the car.

COLBY: OK. Let's talk...

WATTS: (INAUDIBLE) But the question is -- go ahead. Sorry.

COLBY: Other than being in the right place at the right time when the investigators show up for this surprise search after meeting with the grandparents today -- which is a really interesting development, showing that the authorities are continuing to work with them and not Casey -- you also went out and took a look at something else for us.

But first, I want the viewers to listen closely to this phone call that Casey Anthony placed to her brother from jail. It contains an important clue.


LEE ANTHONY, BROTHER: Did you ever call the baby-sitter on your cell phone or ever receive a call from the baby-sitter on your cell phone number?


LEE ANTHONY: Can you give me any day or anything whenever you think you may have received that?

CASEY ANTHONY: Any specific day? God, a lot of the times, it was through text messages, so I mean, the number would show up even on that.


CASEY ANTHONY: I can't think of any specifics. I mean, my days are all thrown together. At least I know what the day is today, but as far as from the last couple months, I have no exact, you know, time or date. If I can think of something...

LEE ANTHONY: Do you remember an area code?

CASEY ANTHONY: The last number that she called me from was the 954 number, which (INAUDIBLE) Fort Lauderdale number.

LEE ANTHONY: Would she have been programmed in your cell phone?

CASEY ANTHONY: She was programmed into that other phone that we need to find a way to recover. I mean, I don't know...

LEE ANTHONY: Help me with tat, actually. You said that you referred to it as your BlackJack?

CASEY ANTHONY: Yes. It was a BlackJack. I'd only had it for probably a week, week-and-a-half. It didn't keep its charge, so that's why I started using that other phone.

LEE ANTHONY: How should I go about finding your phone?

CASEY ANTHONY: I don't know. That's the thing. I mean, if I knew specifically where it was -- I mean, my last recollection of me having it was at Universal, but I knew that I had also been at Jay Blanchard Park, and I could have potentially had it there with me, too.


COLBY: And Jay Blanchard Park is exactly where our producer, Steph Watts, went today. Take a look.


WATTS: We're here in Blanchard Park, in the middle of Orlando. This park is about 15 minutes from Casey Anthony's home. And the reason we're here is because Casey Anthony, in a phone conversation from jail with her brother, Lee Anthony -- Lee was questioning her about a cell phone she had mentioned she had. And they were trying to locate the cell phone. In that conversation, she said she had come to this park with some friends and believed this is where she lost the cell phone.

We would hope that investigators came here to check it out, maybe not just for the cell phone, but for any signs -- maybe perhaps she brought little Caylee here.

Now, if the name of the park sounds familiar, it is because June 10 of this year, another young woman, her name was Nicole Ganguzza, was murdered here. She went jogging, and her body was discovered the next day. Her killer's never been found.


COLBY: Now, we're not saying there's any connection necessarily between the two cases, but boy, it sure is interesting, Steph, that this park was the location of a murder investigation previously, and now Casey brings it up in this phone conversation with her brother about her phone. What else do you read into that conversation with the brother? It's so interesting. His questions really did seem prepared by investigators.

WATTS: Yes, it must be really frustrating for this family. And what I think was really interesting today, as well, Jamie, is when you see the CSI show up, crime scene investigators, you know that they're investigating this as a crime, although they won't come out and say that. This is the second visit by CSI. So I think it must -- I think it's starting to set into the family that perhaps what their daughter or their sister has been telling them may not be the truth. And I think they're really trying to dig and do their own investigation and find out where Caylee is.

COLBY: They were busy today not only talking to investigators, helping with this search, but we have more information about what Casey's family is up to today. That is coming up ahead. Steph, thanks so much.

And what is happening in the investigation? You heard in that press conference, they're still looking for this baby-sitter that they can't find. Are investigators then tossing Casey Anthony aside?

Let's go to Rozzie Franco, reporter for WFLA radio and the Florida News Network. And Rozzie, they have said time and again, including today, that Casey is not cooperating. So they are spending more time with the family. What else are investigators up to? You're on the inside.

ROZZIE FRANCO, WFLA, FLORIDA NEWS NETWORK: Right. That's interesting. Casey is not cooperating, so Deputy Carlos Padilla from the Orange County sheriff's office says they're going to go around her. They're going into this investigation full throttle, and that means they're taking the stains from the trunk of the car, they're taking the shovel from the -- the DNA evidence from the shovel. And they mentioned that there might be other evidence that will be surfacing. We will not learn that until next week.

Now, what's interesting about the soil samples is that will tell a lot because the cadaver dogs -- actually, Padilla stated that the cadaver dogs sensed that there might have been a decomposing body that might have been moved from the back yard.

COLBY: Yes, the soil samples from the house, the soil samples from the car potentially hook up. They don't say what kind of soil it is. But what I wanted to ask you is, Cindy and George Anthony were pretty adamant that they didn't feel investigators were taking their daughter seriously or looking for Caylee enough. Today, they had a little bit of a different attitude. What was their mood today when you saw them?

FRANCO: Well, Cindy has been very supportive of Casey. I can't say - - I can't say the same thing about George. Now, he has kind of been distant. Now, George is also an ex-police officer, so it raises a lot of questions in this situation. You know, could there have been a body buried in the back yard, and could there have been some calculating situation that transpired between the pair? We don't know that, OK? I'm not speculating. I'm just simply posing the question. But he was an ex-police officer, and he hasn't -- he's been cooperative, but he hasn't been that forthcoming to the media.

COLBY: Yes. Today, they really didn't have a lot to say, one of the few days they haven't come out and talked. I know that they were at an event today for missing children, that they're trying to raise awareness and money for missing children, including Caylee. They hope the search continues. Rozzie, thanks so much.

Content and Programming Copyright 2008 FOX News Network, LLC. ALL RIGHTS RESERVED. Transcription Copyright 2008 ASC LLC (www.ascllc.net), which takes sole responsibility for the accuracy of the transcription. ALL RIGHTS RESERVED. No license is granted to the user of this material except for the user's personal or internal use and, in such case, only one copy may be printed, nor shall user use any material for commercial purposes or in any fashion that may infringe upon FOX News Network, LLC'S and ASC LLC's copyrights or other proprietary rights or interests in the material. This is not a legal transcript for purposes of litigation.