Help with responding to payday lenders 10.22.10

I live in Maryland and had a payday loan with Advancemetoday.com and Great Skies and got caught up in the whole payday loan hell mess. I closed out my bank account, opened a new account and sent the letter that members of the forum sent to me. Great Skies responded back stating that they would mark my loan as paid in full, I am still awaiting a letter and hopefully a refund as I borrowed $500 and paid $1225 back. Advancemetoday.com on the other hand sent me the following reply:

i would like to inform you that since we are located in Costa Rica we dont have to follow your state laws we only have to follow federal laws so we will continue with the payments as is if you choose not to pay we will take action on. also since you took out a pay day loan knowing that your state doesnt do payday loans in it i can escalate your account for fraud since your trying to hide behind a law we dont have to follow.

Please help me in how I should or if I should respond to them and how worried I should be.

Thanks A Million-
Tina