If you have evidence that they acknowledged receiving the money and said they were issuing a refund, then you have evidence for court. You may be able to file small claims in your own city and force them to have to come to you to defend themselves. That would get you a refund quick I would think, but you would need to take them to court I imagine.
I don't think going to the local police would do you much good, but you could call your local prosecuting attorney office and see if they can give you some tips and let you know if you can file small claims where you live.
If it is Internet related you could report them here
http://ic3.gov/ but I don't know if it would do you any good in this case other than reporting it so they can collect data on them.