Better rule - if they call you, don't do it!
When someone calls you, be extremely skeptical of anything they say. Refuse to cooperate.
If it's your bank, wait a while (so this scam doesn't work) then call them back at the number on the back of your card and ask them if they just called you.
If it's Microsoft, feel free to do anything necessary to keep them on the line, there's a contest running for longest time. My best is 20 minutes, answering all the questions, clicking and making sure he could hear me typing. I didn't bother telling him I was running Linux, and the menus are close enough that he continued along with his script, but finally gave up and told me to call Microsoft's support number.
It was then that I asked him (still playing the dumb user) if I should tell them I was running Linux.
There was a pause, then the start of a swear, then he hung up, leaving my wife and I ROFL for quite a while...she had immediately passed the call to me when she realized what it was and had been listening to my "efforts" to follow his instructions.