New South Wales Attorney-General John Hatzistergos says there is not enough information available to warrant an independent inquiry into allegations of bribery within the Government.

In the months before his death, Sydney businessman Michael McGurk told journalists about an audio recording he claimed to have made implicating state and federal Labor politicians in corruption.

It is purported to contain conversations about the MPs receiving payments from businessmen in return for favours.

Mr McGurk, 45, was shot dead outside his Cremorne home on Sydney's lower north shore on Thursday night in what police say was a targeted killing.

Mr Hatzistergos says he only became aware of the allegations through media reports.

"All I've got is a newspaper report and I'm sure that's available to the other authorities as well," he said.

"So if anyone's got any more substantive information, I would encourage them to take it to the police or the Independent Commission Against Corruption (ICAC)."

Earlier, Opposition Leader Barry O'Farrell said ICAC must launch an immediate investigation.

"There are serious allegations that a tape existed alleging corruption in the Rees Government," he said.

"A man has died and that's why ICAC should get off its backside and start to investigate this matter.

Mr O'Farrell says if ICAC does not act, a Royal Commission should be established.

The allegations have cast a pall over celebrations marking the first anniversary in office of Premier Nathan Rees, who says he had no knowledge of the tape.

Mr Rees told reporters that he only learnt of the allegation when media contacted his office on Friday.

He would not say if the Government would conduct its own internal investigation into the alleged tape.

"It's the subject of a police investigation and that's where it should rest," he said.

Mr Rees also said he had no knowledge of alleged corrupt behaviour before being informed on Friday.

Like his Attorney-General, Mr Rees reiterated that anyone with information to contact the police or ICAC.

The ABC understands Mr McGurk had told people his home and office were recently burgled.

Police say they had been investigating a break-in at his home in the weeks leading up to his death.

The head of the homicide squad, Geoff Beresford, says Mr McGurk was well-known to police.

'Dynamite tape'

Mr McGurk's business associate, Jim Byrnes, told ABC Radio's PM on Friday that Mr McGurk feared for his life because of the tape recording.

Mr Byrnes says there could have been a long list of people who may have wanted Mr McGurk killed.

"It's a pretty well-established fact that there was supposed to be a tape recording of a lengthy conversation that he had with a person who he is currently in dispute with, and that tape recording related to supposed financial payments to very senior politicians within the state," he told PM.

"Had that tape seen the light of day you might be seeing a chain [effect]. You might be seeing two or three politicians no longer being politicians.

"A former NSW politician and powerbroker had reviewed the tape and as I understand it was dynamite.

"When I was told of this, my response was that it should be handed over to the Crime Commission and... copies of it should be provided to all of the major networks and newspapers."

Mr Byrnes says he has not heard the tape and does not have a copy of it.

"But I do understand that several copies were made and I'm of the belief that some responsible person that he knew was given instructions on what to do with it if anything happened to him," he said.

Mr Byrnes was jailed in 1986 over a drug charge and the corporate watchdog ASIC has disqualified him twice.

Up until two weeks ago, Mr McGurk was facing assault and arson charges and was due to face court yesterday over a property dispute.

Sydney Morning Herald journalist Kate McClymont has reported that Mr McGurk told her of the existence the audio tape in July.

She says he called her last week saying he had been told of a plan to kill him.

But McClymont told the ABC that as far as she was aware, he had not sought police protection.

The ABC has not heard the tape but has been told by a second source that Mr McGurk had told other people about the existence of a tape.

There are no suggestions that individuals mentioned in this story are involved in the murder of Mr McGurk.

- ABC/AAP