That was definitely not any official Microsoft support. That's a so called fake Tech Support Scam.
> Tricks you should look out for
Sounds as if you didn't allow remote access. In that case there is nothing to worry about.
In case you did allow remote access:
Inform your bank, change passwords, remove remote access etc etc.
> Getting help if you have been scammed
Much more infos etc below.
Some related and official Microsoft articles:
- Protect yourself from tech support scams especially What to do if a tech support scammer already has your info
- Tech support scams
- www.microsoft.com/reportascam
- Protect yourself from online scams and attacks
Other non-Microsoft, but very good articles worth reading: