How Do I Report A Scam That Is Using The Microsoft Name

I received a call today from someome who called himself "Jack Williams" but he had a very thick Indian accent and said he was calling from Microsoft to tell me I was hacked. I was suspecious and asked for a phone number and address. He wanted me to buy an anti-hacking service and to pay thru Paypal. I told him I'd check it out and call back if this was a valid service. I did a search on the address and it does not exist. Someone should check this out. They are scaring people and ripping people off in Microsofts name. I am affraid that they may be the hacker and might have done damage to my computer. Any help in this matter would be appreciated. thanks