No - just ignore these idiots. They are just trying to screw money out of you.
As to being ex-directory - are you sure you still are? We thought we were (have been ex-directory for years AND registered with the Telephone Preference Service), but then started getting a lot of nuisance calls. It turned out we were now IN the directory because British Telecom no longer had responsibility for the entries which had been passed to the service provider which, in our case, was Virgin Media. Either BT or Virgin, or both, are idiots for not liasing over ex-directory entries! BUT, even worse, directories are now all over the internet so any idiot can call you up and be a pest. And the TPS can't take action against calls from abroad.
Just set up a firewall (we use Comodo free version) and install an Anti-Virus program on your PC and scan any programs that you download.
If they call again just keep them chatting for as long as you like (the're paying for the call), then tell them to stick up their backside.
If it does turn out that you are now in the directory, call your provider and get it removed - tho' it will take years before it filters through to the internet copies.
The other option is to buy a phone and pay for caller ID then, if you don't recognise the callers number you can just ignore it!