Publishers Clearing House phone Scam

David Baker called me and said I won the Publishers Clearing House of 3.5 million dollars and a brand new 2017 Mercedes Benz. He said this is no joke you have won this. He gave me a check #, a winning #, a Package #, a Delivery team (names) and a company number 1-876-528-8100. Then he wanted me to stay ON the phone and go to a Walmart to pay $295.00 and get a receipt - that would be refunded back to me. I told him I didn't understand and that this is a land line and I couldn't keep him on the phone, I asked him to explain it to me (again as I was now suspicious and I said where's my 10 day affidavit I'm supposed to get?) then he asked me for my cell phone number so ((he could stay on the line while I drove to the Walmart)) LOL... If I won why would I have to pay any money? Its a very well put together scam... Funny thing is a few hours ago I filled out the PCH info to win... So how did he get that information???