how to report phone harassment

I keep getting hang-up calls from a number in Deming,NM.  Got 5 today.  After the 4th I called the number.  There was a recording saying I'd reached some sort of polling/survey company called "CMI", and I left a voicemail asking them not to call me.  5 minutes later I got yet another call.

Is there somewhere on this site where I can report this to Cox or should I wait and see if I get more calls and then report it to the police?