Okay, I'm one step farther down the road. I needed to install
http://theoryx5.uwinnipeg.ca/ppms/Crypt-SSLeay.ppd
I started with a fresh installation of Active Perl 5.8 on a Windows XP Pro workstation. Used PPM to upgrade to the latest versions of all modules. Installed Cygwin to get the Unix utilities wget,tar,gzip, etc. Then I setup CPAN and installed Net-EBay v0.19 unsing CPAN because the module isn't available in PPM.
After installing Crypt-SSLeay the first method (my $eBay = new Net::eBay("ebay.ini");) works.
Forward and onward.