If you haven't already, get yourself registered on the Telephone Prefererence Service
http://www.tpsonline.org.uk/tps/index.html
It seems to stop some calls but NOT all calls, especially those from abroad. Still, you can report any cold callers to them if they become a nuisance.
You usually can find out who the number is by using the website "who calls me?". If it is a common complaint someone usually posts the company information so you can contact them directly to get yourselves removed from the list, so it is worth scrolling through the forum discussions on the site.
http://whocallsme.com/Phone-Calls.aspx/0/m
If you ask them by phpne, letter or e-mail they should, by law, remove you from their lists - and anyone who is TPS registered should not be on these lists as they are supposed to be TPS cleansed lists. It is not always the case though.
Unfortunately these companies sell lists to each other so it seems if you are one list your details get passed around.
When I suspect a cold call I either leave it to the answermachine - which makes them call off, or if I answer, I ask them who they are, what company they are calling from and where they got my number. This usually throws them as it is "off script" from their sales patter. They get a minute or so with me and then the phone goes down - just be firm and tell them you are not interested in whatever they are selling and to remove your number from their lists.
Good luck