I am sorry that you fell victim to this all too common Craigslist / Western Union Scam. I regret to say that your money is gone, and its very unlikely that it will be recovered. A police report alone is not going to protect you from identity theft.
If you gave the scammers information like your social security number or other personally identifying information, then you should be concerned about possible identity theft. There is lots of information on the internet about protecting your self against identity theft that you can find.
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To add to my colleague's advice, you're not going to ever get your money back, and this is an expensive lesson in why it's unwise to buy a used car sight unseen and wire money to someone.
You can "freeze" your credit, so that no one, including you until you un-freeze your credit, can open an account in your name. Please see the FTC link below
As for protecting others, that's why you should call the police and file a report, and also check with your state's Attorney General to see if they're investigating these particular scammers.
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While I agree with my colleagues, I would still file the police report and you might also contact the State Attorney General's office. If they get enough complaints like this, they may go after these thieves.
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