If you are certain he is illegal then you can call immigration and they will do their own investigation. But if the illegal is doing no harm and only wants a better life for himself and his family it would be more kinder to refer him to an immigration attorney.
The agency to contact is the U. S. Department of immigration and customs enforcment. They can usally be found in the government section of a phonebook and are also online.
Contact the Immigration and Naturalization office of the U. S. Government. You will be asked to identify the person by name, address with a brief description of what they look like.
You could actually notify the local police. If you prefer, you could also contact the U. S. Border Patrol or the Immigration and Naturalization Service; both are in the phone book.