I gather from your word choices that you're in the UK where such "cold calls" are apparently on the rise. They are similar, in character and intent, to the numerous rogue antivirus applications plaguing Windows, and now Mac, users.Under no circumstances
should you purchase anything from them, download any software they request, visit a website they suggest, disclose any personal information to them, or really do or think or say anything they suggest. They are scammers, nothing more or less.
They did not get your information from Microsoft nor do they represent Microsoft or any other legitimate company with whom you may have a business relationship (e.g. your ISP, your phone company, etc.) They likely got your information from the same places the telemarketers and debt collection agencies get it.
The "errors" you described can safely be ignored as they aren't true errors, happen all the time, and generally resolve themselves without user action.
Further reading: http://blog.eset.com/2010/08/01/support-scams-part-umpteen