You are not safe even on dial up. They are trying to get you to go to a website and download something, I think. Here is the best way to handle it. (if you are mischievous) --
Pretend to go along with everything they say. Pretend you are doing what they tell you to do. (Don't really do it, of course.) After a few minutes, say "WAIT a minute - there is a error message that popped up on my screen!"
"What does it say?" they will ask.
"It says, WARNING, the person on the other end of the phone is trying to rip you off!"