If you got their phone number, then call them back and insist on getting the information. It may be necessary to do this during the working day.
If you didn't get their phone number, immediately dial 1471. This works in most parts of the country and should give you their phone number, but you must do it straight away, because it will only give you the last phone number which called you and a new incoming call will erase the information.
OK, 1471 is what Oftel recommends, but you will find that most junk calling companies make sure their numbers are witheld from this system so all you get is an irritating message saying: "The caller witheld their number". More frequently these days, you will find that you can't actually call back on any number you have got - either through 1471 or through asking - because it rings 'unobtainable' or apparently permanently 'busy'.