The responsibility for security at the Philip II Arena lay with Macedonia, but the Football Association of Wales has admitted it may have to adapt its own security measures to cope with the spotlight the new Real Madrid signing, who looks set to be on the bench again against Serbia on Tuesday, will face.
Bellamy said: "It's new for us. We have had Ryan Giggs, but this is a little bit different.
"It's a great time for us to market our country and tell everyone about the good things we have.
"It's not everyday that you can boast the world's most expensive player as one of yours. As a group of players we will try to look after him.
"He's a great lad and we are learning as we go.
"I've seen it with Giggsy a bit. This is different. It's great because of the recognition our nation will get."
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