Well, first, if it's a social call, I'd say to my friend "Why in the heck are you calling me so early?" in a good-natured way.
If it's a business call, I'd either answer the phone, or let it go to VM.
It sounds to me, OP, like most of your frustration is that you don't like this woman. I'm not sure why you stayed on the phone with her so long once you realized it was her. A simple "Can I call you back later? We usually get up around 9am and I'm a little groggy" would have ended the call, and let her know in the future to not call so early.