This dumb lady at Fox seems not to know anything about Islam. OF COURSE a Muslim person is going to be interested in the life and teachings of Jesus, HE IS A PART OF THEIR RELIGION.
Muslims revere Jesus as a great prophet, the last prophet before Mohammed. The Qoran has entire books in it about Jesus and his mother Mary, including tales of his life that Christianity leaves out, tales that IMO make Jesus an even greater human being than the Christian bible alone does (please, lets not even get into a debate on whether Jesus was human or some divine avatar, that argument didn't even arise until at least decades if not centuries after his death, and was never something that Jesus claimed during his lifetime). They are both seen as very holy people in the Muslim faith.
So asking why a Muslim would be interested in Jesus is like asking a Christian why they are interested in Jacob, or Moses, or Abraham or Adam.
Seriously, how fucking stupid do you have to be to get a job working for Fox News?