[Help] Is this a scam? DHS e-mail

There is a guy emailing me saying: "We know what you have been doing"
Only this phrase... it's a "@dhs.gov" email

Just to you guys know, i'm not from USA, i'm from Iceland.

And now he sent me another e-mail, asking "Who are you" "What company do you work" and etc...
He also provided his name, some other names (companies, IDK lol) and a number at the end.

This what happened:

I have a website selling cd key for one game.
Then, a guy bought one by paypal.
We did a fine trade. But he claimed his money back, and he got it. Then, I emailed him that I would contact paypal for my money back because he already had the product. Then he answered me for the first time (when he claimed his money, I've already sent some emails, but no answer) saying these things (probably to scare me, and let it go...), but I'm not sure.

What you guys think? I'm scared, even though I know I did nothing.

Edit: He just sent me another e-mail:
"Selling illegal cd-keys to various software products is a federal offense. Logging into someone elses PayPal account to purchase illegal cd-keys is also a federal offense."
But... it's a game cd key of my own... they are not illegal lol.
And if it was, I think the game company should take care of it, lol

I'm not ure that this is quite our field. However. If I were you, I would set up a free googlemail e-mail address with details not connecting to yourself. Googlemail doesn't show your ip to the world, and then send an e-mail to this dhs.gov mail address and just mention that you would request further details about their department.

If it is a spoofed mail it may bounce, or if it has spoofed a real address you may get a reply that makes that clear.

You aren't doing any harm, and it may be all that is required to put your mind at rest.

Hope that helps.

Hmm. The USA does have a reputation for trying to apply its own laws outside its borders, but this doesn't sound like anything the Dept of Homeland Security would be interested in.
As Gomer said, we can't advise on what is or isn't software piracy. But if it's a scam, I can't yet see how it's going to scam you.
Can you post the whole email, including headers? If you don't know how to display full email headers, e can help if you tell us what program you use to receive email, or which free wemail provider you use.
Delete any personal info when pasting the email here.