Very unlikely anyone would try to make an A-bomb (or even a "dirty bomb") out of depleted uranium. The highly fissionable material -- U-235 (plutonium) -- is taken out of depleted uranium, rendering it virtually unusable as basis for a nuclear chain reaction.
If that guy was carrying half a kilo of depleted uranium, he was likely set up in some kind of sting operation.
From Wikepedia -
http://www.answers.com/topic/enriched-uranium Enriched uranium
Enriched uranium is uranium whose uranium-235 content has been increased through the process of isotope separation. Natural uranium consists mostly of the U-238 isotope, with about 0.7 percent by weight as U-235 which is the only isotope existing in nature to any appreciable extent that is fissionable by thermal neutrons.
Highly enriched uranium (HEU) has a greater than 20% concentration of U-235.
The fissile uranium in nuclear weapons usually contains 85% or more of U-235 (weapons-grade or weapon-grade), though for a crude inefficient weapon 20% is sufficient (this is called weapons-usable or weapon-usable; some argue that even less is sufficient, but that then the critical mass rapidly increases). The presence of too much of the U-238 isotope inhibits the runaway nuclear chain reaction that is responsible for the weapon's power.
HEU is also used in nuclear submarine reactors, where it contains at least 50% U-235, but typically exceeds 90%.
Low-enriched uranium (LEU) has a lower than 20% concentration of U-235.
For use in commercial nuclear reactors natural uranium is enriched to 3 to 5 percent U-235.
During the Manhattan Project enriched uranium was given the codename oralloy, a shortened version of Oak Ridge alloy, after the plant where the uranium was enriched. The term oralloy is still occasionally used to refer to enriched uranium. The remaining U-238 with extremely low U-235 content is known as depleted uranium, and is considerably less radioactive than even natural uranium, though still extremely dense and is useful for armor and armor penetrating weapons.
The ability to enrich uranium is one of the key factors in nuclear weapons proliferation.