Failure of a high-pressure compressor for air cylinders is extremely rare and very dangerous. If you had been close to it at the time you could have been seriously injured, or worse.
You should be able to get your money back by using eBay's money back guarantee, but this isn't the point.
The reason for the failure needs to be professionally investigated. If it was new, there are serious questions to be asked of the manufacturer or importer. If it was used, the same is true of the seller as regards its history, inspection and testing - especially if it was a business seller.
Depending upon the circumstances, the HSE, Trading Standards and/or the local authority may be involved. My advice would be to start by asking advice from your local HSE (Health and Safety Executive) office. Even if they're not involved, they will know which enforcing authority should investigate the accident and can probably give you their contact details.
To state the obvious, it's important to keep the pump and any parts damaged for inspection. You may need to explain this to eBay if they try to say it should be returned for a refund.
