I found a transcript of Morgan Spurlock on the O’Reilly factor. One of his choice quotes:

This film isn't about McDonald's, the film is not about McDonald's, the film is about the lifestyles we lead as Americans. We overeat and under-exercise in America. This film is about the bad choices we make every day, of which fast food is a huge part of it. The film isn't just about McDonald's. But see, you, like everyone else, are making the film just about McDonald's, and that's not what it is.

And on why he choose McDonald’s:

I picked McDonald's for a specific purpose because they are the leader. They influence every other business in this industry. And by picking McDonald's I picked the one company that I believe can most easily institute change, which they are moving towards.