The seller won't have the pick up code. What has happened to me many times is an issue with the ECP code the seller is supposed to include in the address - and Sainsburys need to register the ECP code when they get the packet.
If that is the case for you:
Ask the seller to look in their order page (or email) for the ECP code - and send it to you, and ask them if they included that on the package.
Then take the ECP code to Sainsburys and ask them to register the package as received - probably best they physically find the package at this point.
You will then receive the (different) pick up code, to give to Sainsburys.
You may want to have some kind of ID with you, the ebay order email etc. in case Sainsburys think you are trying to pick up a package which isn't yours. If you do get stuck with that kind of issue - get them to phone ebay.
If the seller doesn't respond with the ECP code, you can also look in your purchase order page for it - however sometimes the buyer and seller ECP code doesn't match.
