You must ground the coax with a ground block before it enters the house. here is some info from an electricians site that I belong to as a low voltage installer
Earth Grounding and Bonding of Communications Systems. The National Electrical Code required earth grounding of telecommunications [800-40(b)], antennas and lead-in cables [810-21(f)], CATV [820-40(b)], and network-powered broadband communications systems [830-40(b)]. This is accomplished by bonding the communications systems to the building earth ground.
The communications systems must be bonded to any of the following earth ground locations:
1. Building or structure grounding electrode system as described in Section 250-50.
2. Interior metal water pipe meeting the requirements of Section 250-104(a). The limitation of 5 feet in Section 250-50 does not apply.
3. Metal service raceway.
4. Service equipment enclosure.
5. Building or structure grounding electrode conductor.
6. Metal enclosure enclosing the building or structure grounding electrode conductor.
7. Accessible bonding means such as six inches of No. 6 copper conductor connected to the service equipment or raceway [250-92(b)].
I am not sure of your exact situation but a search of NEC 2005 with the above code references may help