Your computer is obviously very compromised since you received such a call.
If you have any personal information on your computer such as tax, bank or anything else they have it. They have everything on your computer. Likely they have key logging software which records keystrokes; and would have any passwords for any banking or anything else you do online.
Get on a clean computer; and change all passwords you have to start.
Ive already taken care of the passwords on a clean pc. However, if I am to download the Malaware program, I have to do that on the dirty pc, right? And won’t they see that I am doing that?