Let them take you to court a good lawyer will make you a mint.
Then counter sue for slander, deformation of character anything
you can. As long as you'r referring them to Amazon and you arn't
breaking Amazons TOS you have nothing to worry about. It looks
like they didn't do their homework before sending that.
Just email them back and tell them that you are only adveritsing THEIR products through AMAZON, somewher eint heir try to sell them the domain
If you're up for a little revenge, register zumbasucks.com and sell a competitor's DVDs. Hey, you could still rank for "zumba" if you work it, and you'll get to stick it to the man without being out thousands of dollars in legal fees.