Deep breadth, Stacy. Call back gets "I'm sorry but the person you have dialed has a voice mail box that has not been set up yet." Sounds like a prank. If they called your land line, call your service provider and tell them you are getting threatening phone calls from this number. If you feel this person constitutes a real threat, call the police. If they called your cell, you can forward the number to *7726 (SPAM). You can also block these numbers. For a landline there are phones with call blocking built in or you can purchase a call blocker. Here's the 800 notes forum on the topic. Some service providers offer call blocking so check with them.
http://800notes.com/nb/search.aspx?q=call+blockers
For your cell, you can download a call blocking app. Most are free and work pretty well. Hang in there and be sure to let the police know about this if you feel threatened.