I would first tell him that you can't talk with him anymore. You don't need to give him any details, just tell him you are going "offline" indefinitely. I would either change your IM name or set your account to always show offline to him. Don't answer emails, don't IM him.....just stop all communication. If he continues to contact you or sends threatening messages, you can contact your local law enforcement agency for additional help. There are also other measures you can take....if he has an email address he sends to you from, you can contact the owner of the doman name he uses at abuse@domain name.com and request that his account be terminated due to abuse...make sure you have documented evidence that he is continuing to contact you after you have requested him to cease-keep all emails and print im's if possible......so if he is using yahoo or bellsouth- you would use firstname.lastname@example.org or email@example.com - etc.....most of the time, simply ignoring the person will take care of the problem.....if he sends anything via the actual mail service, keep everything (including envelopes) and report it at your local postal office. There are laws in place to keep people from being harrassed by cyberstalkers. Ignorning him; however, is going to be your best method of getting him gone.
Please let me know if I can help further.