What is running on your system? apache,windows? Contact your webhost and tell them you have recieved threats and want to know if their servers are protected against the latest vunrabilities.
Are you running anyscripts on your site? cgi, php,asp etc? if they are yours you may want to check them for security flaws or if they are someone elses confirm with them that they have been tested for security flaws.
Make a backup of your site. just incase..
But dont give in to those threats, i wouldnt worry to much about it cause script kiddies only ever deface sites or delete them in which case you have a backup.
-=BP=-
P.S Logging his ip wont be much help to you, plus you may already have access a raw log dump on your host...