The key to these messages is the link. when you get your email, take a look at the link - not the letters on the screen, the actual behind the scenes hyperlink. In this case it shows that the link points to "cgi1.ebay.com" however I have found that the link usually goes to a non-ebay IP rather than the ebay.com address.

If you click on the link in the email, take a look at the address bar of the Internet explorer and see where it is really going. (Note that the message board program here will not show the link in the email).