Police won't help.

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My brother has had a falling out with my cousin and now my cousin is threatening to kill him. My brother did the wrong thing and I have told him that, as he slept with my cousins girlfriend. I do realise that was a very stupid thing to do and have told my brother that. My cousins girlfriend kept getting in touch with my brother to try and get him to meet her somewhere, I kept telling him not to because she is only causing more trouble. One day she turned up at his place and they were watching TV, the next thing he knows is our cousin is there and threatening to kill him, the only reason he didn't do it then was because there was a child there. I think the girlfriend set this up. I actually think she likes to have two men fight over her. My brother has told them he doesn't want to see them both again but the girlfriend keeps trying to contact him, he has changed his number a few times now but she gets it from someone else. I have told my brother not to give it to anyone, as there is someone who is giving his number to them, but I think I am better off hitting my head against a brick wall, at least the wall might listen. My brother gets sms's saying that she can stop him from hunting him down, I can stop you from getting hurt etc. My brother has been ignoring these messages. Then they rang up using a different number one time and my brother answered it and they threaten to kill him again. The girlfriend had even gone as far as ringing one of my brothers daughters and waiting for his daughters after school to pass on messages to my brother. My brother has finally gone to the police and told them what is going on and said he wants a restraining order on these two, he told them about the sms's, threats and about them contacting his daughters. The police said there is nothing they could do, they can't put a restraining order on them yet because there has been no physical contact yet. They wouldn't even look at the sms's and didn't even consider that the daughters are now getting involved. My brother was so depressed after that. I just don't understand why the police can't do something. If my cousin get his hand on him, my brother is not even going to have the chance to ring police. My brother has been hiding at my place a lot, but I can't keep doing that forever. My cousin and his girlfriend know he is here, but they are to scared to come here because they know that I will ring the police straight away. They also know that they would have to deal with my husband. Does anyone have any advice?