Here is an example of a common coax grounding block:
http://www.amazon.com/F-pin-Coaxial-.../dp/B001I5610E It does not contain any fuse. It simply provides a reliable connection to the outer shield of the coax so that it can be solidly connected (bonded) to an appropriate protective ground point such as the electrical service grounding rod.
The ideal location for a ground block is near the electrical service ground rod (or equivalent if your electrical service uses another method to connect to earth) such that no more than 10' of wire is needed to make the connection between the ground block and electrical service ground. Also, it's best practice to run the coax from the antenna to the ground block without penetrating the structure (keep it outside) until it passes through the ground block, then it can enter the structure. This directs fault current that is from an outside source to stay outside the structure.
There are premium options, for example:
http://www.amazon.com/TII-Broadband-...ywords=tii+212 In addition to a solid connection to the shield, this type of protector does include over voltage protection for the center conductor of the coax.