I got threatened by this man, he claimed I was going to jail for not paying back a payday loan (I paid more than four times what I borrowed).

Total scam.  Did you receive an e-mail?  Did someone with an Indian accent call you?  This sounds like  the work of a few hard-core Indian scammer/extortionists.  This is an Indian payday loan scam.  It is not random, they have all your financial information and a lot of personal information.  They pick on women, single mothers, the elderly and members of the immigrant community.  Do not return their calls.  Block them.  This is a total fraud.   No one can be arrested for ordinary civil debt in the US.  If they call you again, tell them you know this is a scam.

See:  http://www.consumer.ftc.gov/blog/phantom-debts-and-fake-collection-notices

File complaint with the FBI at: www.ic3.gov/complaint/default.aspx

I did not receive a phone call I received an e-mail from (Mark Brown <attorney.general.of.unitedstat@gmail.com>) telling me I owned $658.00 and I had to contact a Sigmund Ross at 339-337-6502  within 48 hours and also attached was a copy of a warrant.

You can attach those to a complaint with IC3m the Cyber Crimes Division of the FBI. See CW's post directly above.   Neither fax, email or phone call are legal proof of anything.

I received the same email and there is no Attorney Sigmund Ross plus I don't believe a federal judge would be using a gmail account to be sending legal documents