All companies that call call for marketing purposes (not market research though) MUST abide by the TPS and cold callers from outside the UK working on behalf of UK companies must also abide by the TPS - the only people that are not governed by the terms of the TPS are foreign companies.
"It is a legal requirement that all organisations (including charities, voluntary organisations and political parties) do not make such calls to numbers registered on the TPS unless they have your consent to do so."
Use this form to complain in the first instance:
http://complaints.tpsonline.org.uk/Consumer/