I certainly had reports of it happening back in October 2009.
As with all fake calls, the thing to remember is that if you provide no information you can come to no harm. No reputable company will cold call you like this, so just refuse to talk - hang up and forget about it.
Microsoft never contacts you, for any reason, unless you have opted in to receive emails from the company. If you do that you're likely to receive newsletters on a regular basis, but that's all.
You can contact the company via its telephone support system, and then you'll obviously talk to an individual, but they'll not send you emails except in exceptional circumstances - they know the dangers involved (for you, not them).
I've corresponded with the Press Office via email for years, but all other contact has been by phone, or at meetings in Microsoft's offices.