Here's what you can do...
1. Just don't answer the phone.
2. Be extremely rude to them.
3. Most of them have this long speach that they read to you. Just set the phone down and let them talk away.
4. Give the phone to your preschooler. I had a telemarketer talk to my daugther for over 10 minutes one time.
5. This is what I highly recommend... add your name to the "do not call' list. Simply call 1-888-382-1222. Once you're registered you have legal rights.
And to answer your question, yes they should respect that your not interested in their product. However, they are not doing anything illegal or something that would be considered harassment.
Good luck.
Note: This is what I find annoying, when I was home sick on bed rest, Habitat for Humanity called me 6 times in 2 days. They are not exempt from the do not call list. They'll never see another penny from me.