Doubtful that he's serious. He probably lied about hacking your computer. Real hackers wouldn't be so stupid.
There are lots of ways to further protect your computer against hacking-- most of which are installed by default. The ones that aren't installed are the kind you might get by going to a particular website or opening a viral email. But if he's claiming he "hacked" your computer, he'd have to do better than that. And that would mean your computer and/or the network it's on are insecure. Doubtful, although much depends on your actual setup.
Either way, though, it's worth a call to the police, if nothing else than to scare the hell out of him. Technically, he threatened you and sexually harassed you, both of which are illegal.
Well, let me rephrase that-- call the police if you know roughly who he is. If he's just "some guy" on the internet, then report it to the agency he contacted you through. IE, if he sent it via instant messenger, contact your IM service and tell them. If he contacted you via your MySpace page, contact MySpace. If you don't have a method of identifying him, the police can't do very much.