I keep getting calls from this number that says it's from Ontario, Canada.  If they are a collection agency, isn't it illegal if they are in another country?

It's a collection agency called Global International.  They have a website for consumers that are getting called: http://www.globalcollection.net/Consumers.aspx

receive several calls a week from this no.i will not press the no. 1 for their message.

It's a collection agency called Global International.  
They have a website for consumers that are getting called:
http://www.globalcollection.net/Consumers.aspx

They call me 5 or 6 times a day and don't leave a message.  Very annoying.

Stop calling