Paypal will never send you an offsite link to update information on their website. They will tell you to go to paypal.com and update the information there. I have had emails from them saying that my paypal debit card will expire, and to log onto their site, click on....(whatever profile or something?)
I also sell items on ebay, and once sold some beads and jewelry making tools and accessories. final bid was like $300 or something. After 5 days when I still hadn't received payment, I sent an ebay message to the buyer. Come to find out that someone had sent her an email stating that "my paypal account has accidently been deactivated" and that she should send a western union money order to an address in Romania. She got suspicious and contacted ebay who said that it was fraudulent and there was nothing with my account. She forwarded all the emails to paypal, but as far as I know nothing ever happened to them. They didn't get the payment, thankfully.
Now you may notice that when someone other than you bids on something and wins or doesn't win all you see is a character followed by asterisks. They way the the fraud happend in my case was the crook looked at the winner and guessed that her email address was the same as her ebay username and then added @mail.com, @yahoo.com and just happend to get lucky.