The United States has demanded the immediate release of an American diplomat arrested in the shooting death of two Pakistani men. The U.S. today said that Raymond Davis, as a diplomat, has immunity from prosecution and he is illegally detained in Lahore. Davis appeared in court in Pakistan yesterday on double murder charges, a day after he shot and killed the two Pakistanis in what he says was self-defense. The judge on Thursday ordered the U.S. official to be held in custody for six days while police continue the investigation. Pakistani authorities say a third Pakistani was killed during the incident when he was struck by a U.S. consulate vehicle that had rushed to the aid of the consular employee. Pakistan's Prime Minister, Yousuf Raza Gilani, told reporters yesterday an investigation into the incident is continuing and that everything connected to the case should be done according to the law. U.S. State Department spokesman P.J. Crowley said the U.S. will fully cooperate with any Pakistani investigation into the incident.