Here are two pages of links to (mostly government) sites in Canada and the USA were you can report phone scams, or learn more about them.

Look here first:
http://800notes.com/arts/I2neMkbUAAo/where-to-report-phone-crime

If the reporting site you wanted is not in the above list, try this one:
http://phonehelp.2truth.com/complaint_sites.html

The message: "In a couple of hours, the local county sheriffs are going to arrest you for 5 criminal allegations. So before this matter goes to the courthouse and you get arrested, kindly get back to us at 716-803-6822 I repeat, 716-803-6822. Now if you don't return the call, then the only thing I can do is, wish you good luck" This is the second message I get from this number in as many days. Thanks local sheriffs for giving me a heads up that you're coming to get me. Right like the cops call each individual criminal and say, "hey, we're coming for you, unless you call this number, then we'll change our minds"  Total B.S.

A scam, do not respond.  This is the third or fourth different number they have used to tell me of my legal troubles.  Being married to a litigating attorney who is well-versed in court procedures she recognized immediately this was a scam.  I think she even reported it to the state attorney general, which is what each person who is contacted should do.  She also reported it to the local sheriff, who called us back after he talked to the people.  Obviously they don't really care and continue to call, and I continue to add each new number to the blocked caller list I have.

This is a scam.  Calling to say we would be arrested.

They can't be prosecuted.  At least by US authorities.  Callers are located in India and Pakistan  Common IRS scammers.  Ignore and block the calls.