Fingerhut review: wanting me to pay for something I never received

I order a xbox from Fingerhut . Which I never received now FINGERHUT want me to make two payment on it. I tried to explain that I never received the product. They stated since it was mail out I would have to make the two month payments. I did everything that they asked such as call the police to my home to make official police report. Fax that and a questioner in to them. The item price was issuer to my account but the two month payments they want those as well as late fee. I refuse and now they are putting it on my credit report which has lower my credit. DOES ANYONE KNOW ANY WHERE ELSE I CAN LEAVE A COMPLAINT!