Angels have the Phone Box
Normally, the way these work, there is a minor infection which holds your system ransom until you call the number and buy their wares, and let them remote in to "fix" things. There usually isn't anything terribly bad on the system at this point, until you let them remote in. But, since they're telling you that you don't have internet access, sounds like nothing bad has happened yet. The Malwarebytes scan from Kyhi's boot media should get rid of the infection so you can get back to your computer and finish the cleanup.