On "The O'Reilly Factor" tonight, Kate Steinle's parents shared memories of their beloved daughter, including her tragic final moments, following her murder by an illegal immigrant.

Jim Steinle said that on the fateful day that Kate was gunned down, he and Kate's mother, Liz Sullivan, had met their daughter and enjoyed a beautiful day in San Francisco.

He explained that they were walking on the pier and heard a pop and didn't know what was happening. Shortly after, Kate went down.

"What did she say before she went down?" O'Reilly asked.

"'Help me, dad.'" 

Steinle said that he and some helpful bystanders did all they could to help Kate until paramedics arrived, but she died two hours later at San Francisco General Hospital.

Sullivan said that the outpouring of support following her daughter's death has been overwhelming. She said she was amazed by the number of people who came forward to offer help and the number of lives that her daughter had touched.

"You can't prepare for anything like this, but it was astonishing. And it is astonishing, and we are hoping to carry this forward," Sullivan said. "We're hoping for some good to come out of all of this."

To that end, they established the Kate Steinle's Legacy & Family Fund, which will help the family continue to move forward and to support the causes close to Kate's heart.

"She was not only beautiful, but a very soulful person, a lot of depth, a lot of spirituality," Sullivan said. "And I think that's what's helping to give us the strength that we've conjured up here in this terrible, terrible situation. I feel her strength still with me."

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Jim Steinle said that he supports Bill O'Reilly's petition for the creation of "Kate's Law," which would impose a five-year federal prison sentence on illegal immigrants who are deported and re-enter the U.S. illegally.

He explained that a number of agencies let his family down by allowing Kate's murderer, Francisco Sanchez, to remain in the U.S., despite being deported multiple times and convicted of multiple felonies. 

"We're just a little tired of the finger-pointing and just want to see some action," Steinle said. "And if 'Kate's Law' saves one person, then it's all for good."

"Something definitely needs to be done," Sullivan said.

Watch "The Factor" video clips and learn more about Kate Steinle's Legacy & Family Fund.

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