Have you opened an INR case on eBay? You'll need to open the case so that you can appeal it once they deny it.
How were they shipped? You'll need to take a copy of your order with the tracking number to the shipping carrier and ask them to confirm or deny that the item was delivered to your address.
If it wasn't, you'll need to ask for a letter on their letterhead, signed, and containing the persons contact information, stating that is wasn't delivered to your address.. Then, if it was the PO, open a Mail Fraud case online and download a copy. Then file police reports in the seller's town and yours, again online. Then, you appeal the case on eBay, uploading copies of all the reports as evidence. There's a good chance they'll reverse the case in your favor.
If they don't, use the same evidence to open an INR case on PayPal if you used them, or your credit card company or bank. PayPal can be contacted at 888-221-1161, if you need to talk to someone. Unlike eBay, PayPal CS is more apt to follow up and actually review you evidence.
In the mean time, read the MBG policy in the eBay help pages and on PayPal dispute policies. Follow instructions and don't miss any deadlines.
Oh, and if the carrier says it was delivered to your address, then you have a different problem, which can't be solved by eBay, PayPal or your CC company. That would be a local police matter.
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Never sell anything on eBay that you can't afford to lose.
