Did you ever get emails with attachments from them which you openend?
If not, There would be a very small chance that you would have a key-logger of trojan on your computer, Atleast not from them.

If this is some kind of theat you can go to the police. Unless you did some illegal business with them :0.

cookies can't do much harm.
They check out you surfing habbits ( dunno the right word for that).