Can a debt collector pose as an investigator? Is this illegal?

I received a phone call the other day from a debt collector. It was on a payday loan (which I am not happy about). She at first said she was an investigator and that she was going to have the sheriff arrest me if I didn't pay this back. Here I am with my two kids thinking the worst. I had to call her back and when I did the woman answered as if it was a law office. I was thinking what is an investigator doing at a law office? Then I realized she was a debt collector. She kept threatening me when I told her I could only pay it off next month. So basically I want to know if the way she was harassing me was illegal? I am not happy that I still had this debt, but I didn't think I deserved to feel like a criminal. I was also willing to pay it off.