Good for you! Well done!  Here's the url that gives all the information by state for these kind of things along with where to file some of those complaints..

Payday loans
http://www.paydayloaninfo.org/state-information

And for others:

Advance fee loans are illegal period and in some states, so are the payday loans.   Please be aware the scammers may also claim down the road that you have taken a loan and try to extort money from you that way as well!

http://www.consumer.ftc.gov/articles/0078-advance-fee-loans
http://www.fraud.org/scams/direct-marketing/advance-fee-loans

http://dfi.wa.gov/consumers/alerts/cashnet-payday.htm
*****
http://www.cashnetusa.com/consumer-notices

http://www.nw3c.org/
http://www.ic3.gov/default.aspx
http://www.fbi.gov/
https://www.ftccomplaintassistant.gov/#&panel1-1
https://esupport.fcc.gov/ccmsforms/form1088.action
http://www.consumerfinance.gov/complaint/
http://www.fraud.org/
http://www.stopfraud.gov/report.html
Tip off FBI about this extortion attempt by filing form at: stips.fbi.gov/

I got the same phone call from John Martin from payday loans from this number and another number almost everyday! I am sick and tired of this annoyance! I explained to him the first time that I never took out a payday loan and that he needed to quit calling me. I told him to send me proof that I received a loan and never received anything. What a SCAM!