First thing you do is get their name and their company's address before you speak to them any further.
Then send a letter to them, stating, "Under Section 11 of the Data Protection Act 1998, I require you to remove my personal details from your database. I do not wish to be contacted by your company for the purposes of marketing, and furthermore, under Section 10 of the Data Protection Act, I demand you stop processing my data and delete it from your records as processing is causing me unwarranted distress by violating my right to privacy as enshrined in Article 8 of the Human Rights Act 1998.
You have 21 days to respond to my S10 notice, informing me of what you intend to do.
If I am unsatisfied with the response I receive, I will be contacting the Information Comissioner's Office who may legally enforce your complaince."