Sounds like they were just trying to scare you and the did! Good for you that you went to the police station.
Forgive me if I sound like a mother, but... it would be a good habit to get into to lock your doors the minute you get into your car. NEVER try answering questions of people that you don't understand, especially when you're stopped in traffic. NEVER roll your windows down for them, not even a crack! Just pretend you don't know what they are saying and move away as soon as possible.
YEEUUUCK!! The town I live in is crawling with pickers. They're a scary bunch!! But you know, no place is safe anymore; not really. It pays to be on your guard when away from home.
Hope you get over your scare soon and remember to ALWAYS lock your doors!
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Psalm 119:105 Thy word is a lamp unto my feet, and a light unto my path.