Advance fee loans are illegal period and in some states, so are the payday loans. Please be aware the scammers may also claim down the road that you have taken a loan and try to extort money from you that way as well!
Consider getting a call blocking device or phone.. You can google them and many are around $50.00 or so. If its a cell phone, some already have call blocking, if not, there are free apps on the web that will work for some. You can google this. If you have a smart phone, there is a free app called call control. Iphones appear to have apps also. Another one is called Mr. Number.
http://www.fraud.org/
http://www.stopfraud.gov/report.html
Tip off FBI about this extortion attempt by filing form at: stips.fbi.gov/