Thanks for your reply.
It's from a TV series (The Glades) The man from the US Marshal service came to the other's house to escort his "stepson" to the boy's biological father who is in a WitSec program.
This is a really short scene. That is the whole conversation. (While the boy and his mother are saying good bye the 2 men have this conversation.)
Thanks a lot!
I assume that the people speaking are:
Man: "How's the U.S. Marshal service treating you?"
Marshal: "Any better, they'd lock me up." = "If they treated me any better, they would lock me up." = "Very well indeed."
This is casual humour, the marshal is suggesting that the U.S. Marshal service are already very generous towards him and if they were more generous, it would probably be a crime (and therefore they would lock him up.)