Department of Legal and Investigations Alex Watson I am going to jail tomorrow for an unpaid loan unless I paid 598.00 California

My name is Jessica S. I was called earlier today on 7/23/2012 from Alex Watson, who claimed he was from Department of Legal and Investigations, and I was getting arrested for an unpaid balance of 598.00, he threatened me and said they cops will be picking me up tomorrow. Now two days prior to this I recieved a call from David Watson telling me I had been approved for a 8,400 grant, but I had to pay 205.00 for a application fee, I went ahead and paid it, I then talked to a lady by the name of Kathy Smith who told me I would be recieving the money but I had to make a 499.00 payment but I would be getting it back with the 8,400 I went ahead and did it so I didn't lose the 205.00. after I wired the money she told me that it would be on my card within 30-35 mins, I had never received that money. The next day I called Kathy back and told her I didn't receive the money, she then gave me the phone to David watson who said that he was going to wire me the money through western union but I had to pay a fee of 925.00, I then freaked out and told him that they told me there would be no more money involved and I just got scammed. I am afraid of being arrested tomorrow. I don't know if these two situations are linked in some way or not. Pleas help me I just lost about 800.00 and I am being threatened that I am going to jail. I can't go to jail I have never been arrested before and I have to children. Please Help Me.