I won an auction on Ebay auction on September 16. Early November, I still had not received the item. I sent seller an e-mail, and they said the item "should arrive any day now." So, looking at their feedback, I waited. Now, the item no longer shows up for me to leave feedback on, and I cannot find it to file an undelivered item claim in PayPal.
Am I just screwed on this one?

You only have 45 days to file a claim, so it's too late for that. Can you still leave feedback? You could email them again and say you're leaving a negative if your refund in the amount of xx.xx isn't received by 12:00 tonight. Then if you get no reply I'd leave a big fat RED negative saying that they never sent the item.

There's an Ebay feedback backdoor if I can still find it that lets you leave feedback from long ago auctions, not sure if it still works though, I'll test it and post if it does.

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"A true friend is someone who thinks that you are a good egg even though he knows that you are slightly cracked." ~ Bernard Meltzer

You can still file with your credit card if you used one to pay them thru PayPal. You have 60 days from the statement date to dispute a charge and some banks will even give you longer. Contact your credit card bank immediately to see if they will help.

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A deal is not always a deal - Some just make you pay in the end.