A threat through SMS - To who and how should i lodge a report?

I've had lots of miscalls from annonymus numbers(not a problem) but recently I have received a threat ( not really for me , it is actually from someone who's using nearly the same number as i am name Syed ) This guy whom mistakenly sent a few sms to me threatening to beat Syed up..........I wanna lodge a report, now how do i do that? and to whom should i report? Is there an online service?