Payday loan

I received a phone call today from a payday loan collector while at work. I asked them not to call my job anymore and to call me on my cellphone regarding this matter. So i received a phone call with just triple zeros and it was them. The woman on the other line kept asking me to write down a fax number but kept blowing me off when i would ask her why. Then finally i wrote the number down which was (917) 677-8913 she told me that i had to fax her a copy of my debit card and a authorization letter so that they can deduct my balance owed. I let her know that i hadn't discussed faxing my debit card to anyone and that i wasn't going to. I told her i have never received a letter of collections from them i needed them to send me something in writing. Shge then put me on the phone with her "supervisor" that couldn't tell me what sity or state they were calling me from but told me i had to call this number (914) 595- 7531 by tommorow at 10am or they were going to start court proceedings. What steps should i take to find out more information about this copy.