professional courier review: missing items from the parcel

I was sent a mp3 player by proffessional courier from madurai to chennai IXM1701889 but when I received the courier the mp3 player and the headset was missing . The only items left behind in the parcel was the installation cd and the usb connector. When i made an inquiry all they say is please file a complaint which I have in the branch office.I hope necessary actions will be taken immediately.