Calling saying I won $850,000 from PCH

I got a call today from David Martin saying I "won $850,000 from a random phone entry for paying my bills on time and being a value customer..yadda ya..." He then went on to give me a confirmation number as well as asking me to go to a local Walgreens to get a giftcard to pay for the 1% in taxes of $200. I hung up. He then called me back and told me "it's not a scam and that they will be arriving at my house today with the cashiers check and seeing is believing." I hung up. He then called me back and told me to "speak to his Manager, David Miller." David Miller (who sounded just like David Martin, thick-accent) told me he's "the manager and if I don't claim my $$$ then I'll see on TV the check going to the charity of my choice." I told them "send it to Habitat for Humanity" and hung up. They called me three more times and then stopped...for now. Total scam and so annoying. Why haven't they been caught yet seeing as it's harrassment!