When you responded to the email did you log in through a link in the email? if you did you might be in trouble. They now have your ebay login information and possibly Paypal. I would change your stuff ASAP.
if you opened a new window and then went to ebay then you should be ok.
With regard to your original question, I think everybody above my post answered it.
Just never click on a link inside an email asking you to login into any account. EVER!