Ebay woes

I'm a first time user on Ebay. The problem i have is that i bought a sony mp3 player off some seller who lives is US ( i wont mention his name unless you want me too) but like i sent payment to him 3 weeks ago using BidPay (since that is the only payment he would accept) but then today i log into ebay account and find out that he is no longer a registered user. I mean should i be getting worried here?

I've also emailed Ebay about this problem too just now, so hopefully i will be getting an email back from them soon.
To make things worse i also looked into my seller's feedback, and i find out that 2 other users have said that they also did not recieve the mp3 player yet. (same item i payed for) and they bought the item around the same time as i did.
So far i've only emailed my seller once which was like 3 days after i made my payment about whether or not he recieved my payment and if he had shipped the product to me yet. Then he emails me back a week later saying that he hasn't, i check bidpay account and he's correct. Cept like 2 days later my money is approved, so now its 2 weeks after that and i still haven't recieved my product yet. ugh.. i'm like getting worried now. Any suggestiions or comments?

(btw i've emailed my seller again just now, so hopefully emails me back)

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Alright, I got an email back from Ebay giving me instructions on how to solve this problem. They said i should phone my seller and resolve the problem from there, and if its not corrected, then i should open a dispute from Ebay. Welp, looks like i'm going to have to make a long distance call now, since my seller is in the US and i'm from Canada... great.

Double Post:
ok i phoned my seller and he doesn't answer... tch typical. Guess now i have to open up a dispute on ebay. The thing is now i have to wait 10 days, and then if he still does not reply back to me then i'll Submit the online Standard Purchase Protection Program claim form. DAmmit!.. freaking have to wait even longer now. sigh.. seriously getting pissed now.

There's nowhere I can't reach.

finally got a letter from ebay now about my claim. Sad thing is though... now i have to wait Another month for them to investigate the situation. Aahhhhh this claim thing is sooo tedious, and annoying the crap out of me. But, looks like i'll be getting around 60% of what i paid for the original item. (well thats if the claim is in my favor) great :/

This thing is sticky, and I don't like it. I don't appreciate it.