I know exactly how you feel. I have been experiencing something similar of late; cyber stalking.
As my problem has been getting progressively worse, I decided to do some research on cyber stalking and find out exactly what options I have and what my rights are. I found a few sites that may be of interest to you.
Make sure you don't delete any emails he sends you, and send him an email telling him to leave you alone (and make sure you keep a copy of that email telling him to leave you alone). If he is still bothering you after all that, then follow through with the other advice listed on the links below.
Don't feel stupid - because you're not. There is nothing wrong with you because you didn't want to do what he wanted. It's your body, so you have the final say. Guys should know that no means no, and stop means stop.
Something like this could have happened in a social offline setting as well, so it really is no different just because you met this guy online. You don't even know people that you meet at the local café or through friends.
There are probably many more resources available, but these are just some sites which I found to have the best information regarding my problem. If you can't find what you're looking for on these sites, just go to any search engine and look up "online harassment" or "online stalking".
Hope I was able to help Good luck!