I was walkin around lookin for star caps and this thing came up on my screen and said something about Mr. McGee or maybe Sargent McGee was dead. I dont remember who he/she is. How badly did i mess up?

Hmmm. That's interesting. Sgt. McGee is the guy the NCR puts in charge of Primm if you go that route in the quest My Kind of Town.
If you have that quest on the books, it might be letting you know he's no longer an option. Otherwise, the guy doesn't do anything except hang out in the Sheriff's shack in Primm.
Other than having to choose one of the other options, it shouldn't affect anything if the guy's dead.

The sargent in my game started walking back and forth between Primm and Goodsprings after I got a town sherriff. Maybe there is some kind of scripting problem with him?

Saw that too..... it had been quite some time since I had completed that quest, and I got the sheriff from the NCR prison for Primm.

You didn't mess up...your game should be ok. It happened way late in my game so I reloaded and replayed what I was doing and he's still alive right now but who knows for how long?

http://fallout.wikia.com/wiki/McGee

Now thats funny just make sure you complete the quest with the Great Khans before you complete the sheriff quest for Primm.