It's Medco calling to inform you that they have recieved a new Rx and are in the process or filling it. There may be other issues associated with the Rx that need your attention such as address verification or a PA may be needed before they can fill it.
Medco can not leave a message due to privacy concerns.

The caller is your medco prescription update

thanks for letting me know it was Medco.

MEDCO!  Mystery solved...THANKS!

They only have your number because either: 1. You or someone in your household has a mail order Rx plan through your health insurance company or 2. Someone who previously had your number used Medco in the past and did not update their information.  Another possibility is that someone keyed in a phone number incorrectly.  But either way, it's not harassing it's informative.  Personally, I like knowing that they received my Rx from my doctor and when it is due to arrive.  If you happen to answer the phone when they call you do have the option to say that you are not the person in question.  It's not that serious.