Never under any circumstances do anything with a cold call except tell them that never under any circumstances will you do anything other than hang up. Then hang up, if they are still there.

Min dyou there are exceptions - like the call I once had from a strange bank to let me know they had identified a bank account in my mother's name with a sizeable sum in it. That was actually true, unlikely as it sounds.

Still, I'm sure if I'd hung up they'd have sent me a letter.