I had one sometime last year, I checked it with my accountant who very kindly asked me to give it to them and they passed it to the police.
It did give me a bit of a scare as setting up your own business can and is a worrying thing at the best of times without these scammers telling you that you could get fined for not registering.
I think you only need to register with the data protection act if you keep a data base of all your customer details, I may be wrong but I know we did not need to register at the time.