Microsoft Service Phone Scammer

You probably know about this around here, that there are people who call to your house pretending to be working for Microsoft and that they want to "help" you.
At least, that's what I understood of what happened to me.
Some Indian-sounding guy (which made sense) called me in the middle of the day,
with all the mergency that I had installed some malicious updates and that he would help me fix it or my computer would crash and stuff like that.
For the first bit I went along with it, although I didn't believe it. And why did I do that?
Because I had júst let Windows update before I shut down the computer. Which was one of the spookiest things.
Still I did not believe this guy was for real, with all his haste and stress and aggression almost,
and of course that Microsoft wouldn't call you out of nowhere.
Besides, what are they going to do? Call every person that supposedly installed malicious updates?
On top of that, doesn't Microsoft have updates to fix malicous files? So I called BS, big time.

Anyway, he told me what to do, which was go to the Run Command thing and enter... I forgot, something that gives a list of errors or something, you probably know.
I did NOT press enter, but I looked up this action, and sure enough I got some Google-results about phone-scams. So I hung up. Then he also instantly called back, I instantly hung up.
Then he called again and I let it ring...

Now, the worst part is this... For one thing, this person has my number somehow. That's just great.
On top of that, this person asked for me, by my name... This sounds like trouble.
How did they find out? Did they get into my computer? Or is it a case of randomly finding phone-numbers and my name is attached anyway?

So I'm pretty worried and wondering if I should take any action.
Should I perhaps take some security-measures or change passwords or anything?
Are they even monitoring me or my data right now?...

For the first time in my PC-active life I've not felt secure...

Ah thanks.

Don't you mean Worldwide then? Cause I live in The Netherlands.

But I guess it happens plenty then.
However, how about the part that they have my name?
Is it simply because it's probably attached to my number?

And so I take it they can't do anything and it's nothing more than an attempt to GET into your computer and collect data?


But this pisses me off. Of course I knew there are people like this in the World, but still.
I just feel bad for the people who would panic and just do as they say.


Edit:

Oh, there's another thing that worried me:

I read somewhere that Microsoft is intentionally making their Gadgets insecure or something.
And that you should get rid of them before other people will use the weak spots or whatever.
This was on a newspage of... I think PCPitStop probably.
But then I looked into it a little more and couldn't find much about it, so I just left it.
I haven't had any problem with the computer, except that this guy called me yesterday.
Now I doubt it has anything to do with it. But still, could it be?

The best answer you can give them is this......... they hang up immediately if you do so because you are then wasting their time............. no kidding just say this to them after they give you their Speeeeeeeeeel............... Say this....

How could that be? I have an Apple....... as soon as you mention the word Apple they hang up ....honestely...try it and see.

They don't see you as an earner for them and you are free and of their list for a while anyway.

Alright, so I take it there's no further risk other than if you cooperate.