President Donald Trump is sticking with his pledge to build a wall at the Mexican border, and he wants the money to pay for it, presidential counselor Kellyanne Conway said Thursday.

"The president ran on building the wall, won on building the wall, and has remained steadfastly committed to doing it," Conway told Fox News' "Fox & Friends" program.

"Anybody who is surprised by that has not been paying attention to that for over two years."

The prospect of the wall, and even of "this man being president," has resulted in lower illegal border crossings, Conway said.

"This is important because people understand that a sovereign nation needs physical borders," said Conway. "This country has spent billions of dollars over the years helping other nations protect their own borders. It's high time we do it here."

Trump on Tuesday night threatened to shut down the government if Congress does not approve funding legislation for the wall. Conway said Thursday the president is consulting with experts to see what would be the most effective when it comes to the wall's construction.

"But make no mistake, his first job as president is to keep us safe and secure," said Conway. "He looks at this border wall as being a piece of that."

Conway also complained about the media's coverage of Trump's actions over the past week, saying there is a big difference between what has happened and what is being reported.

"The president is very focused on the issues," Conway said. "He addressed in the last three days a new policy in Afghanistan, a way forward that also brings India and Pakistan into the fold. You have day two where he talked about illegal immigration and the border wall ... and then yesterday, of course, the media don't want to cover what happened. The president besieged the nation to unify, to appeal to our better angels or higher purposes, the things that bind us together as Americans. We are all on the same team. That got scant coverage."

She also said the "law that he passed" for the Veterans' Administration also got "scant coverage."

"People talk about does the president have support in the Senate," Conway said. "That passed unanimously in the United States Senate. So one should scratch their head and wonder why this wasn't done in the last administration."

Conway also talked about Trump's criticism of Sen. Jeff Flake, R-Ariz., commenting that the administration hopes Flake "will support the agenda that he ran on and the president ran on. That includes repealing and replacing Obamacare."

She also lambasted former director of national intelligence James Clapper for his comments earlier this week questioning the president's fitness.

"It's such an absurd analysis," said Conway. "He's playing armchair psychiatrist. It's not just him. It's a lot of people on TV. I remember, I'm old enough to remember, when news stations reported the news and didn't just have a parade of pundits going out there and opinionating and pontificating and conjecturing. It leads to analysis like this because people end up with very little to say."