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[Corrine]

G'day, bradickson.  Welcome to LandzDown Forum.

Do not give the caller any personal information.  The Microsoft Online Privacy & Safety blog published this article with recommendations, Avoid Phone Scams | Cybercriminal Tech Support Scam | Security Threats, although, in my opinion, the best thing is to just hang up. 

It appears that there are local offices in Australia for reporting scams.  You may find these sites helpful: 

Report a scam
How to Report a Scam in Australia.