How can I counter sue a payday loan company?

I applied for a payday loan back in December. I was denied, but one company said I was approved but I NEVER got the money. I checked ALL my bank statements and NONE of them had a loan deposited in them. Now I'm getting harassing phone calls from them, saying that they're filing a lawsuit against me. So can... show more I applied for a payday loan back in December. I was denied, but one company said I was approved but I NEVER got the money. I checked ALL my bank statements and NONE of them had a loan deposited in them. Now I'm getting harassing phone calls from them, saying that they're filing a lawsuit against me. So can I COUNTER-SUE them for harassment, deprivation of character or anything long those lines?
Update: So HOW can I sue them...and WIN!
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