Lawsuit

I live in Phila, PA and I have been getting phone calls from a "PA Federal Agency"(thats what they said their name was), they always come up as "unknown" so I can't call them back. Anyway, apparently I took out a payday loan 6 months ago. I just recently used the payday loan service on 11/18/2011, this was the first time I have EVER used this type of service. They are saying that they are going to have me arrested for fraud. I have asked them on numerous occasions for their phone number, their name of the company, lawyer, agency they work for and a copy of the paperwork with my name on it that proves that I took out the loan. They hang up everytime, they either get nasty and tell me that "I am going to jail and to just have bail money ready" or "they don't need to provide me with any proof, this is my loan and I am responsible for it". The last straw was that they called and my daughter answered the phone, I usually don't answer unknown numbers, and they thought it was me and told her "to enjoy your Thanksgiving, the police will be there to pick you up on Monday". My daughter started crying and when I told him that he should not have done that and I asked them to stop calling my phone he said "not until you are behind bars". All I have is the voicemail messages, I don't have any other information from them or the company and they have refused to provide it. Any help will be greatly appreciated.