There is a great website (
http://home.rica.net/alphae/419coal/ ) with
information about what to do if you get one of those scam letters.
The US Treasury department is collecting info and procicuting scammers.
You can forward your scam letter to: 419.fdc(a)usss.treas.gov
Be sure to mark it "No financial loss" ... unless you fell for the scam : ^ )
See the website above for info.