The buyer has to change their shipping address; the seller cannot.
If the buyer paid for something and had the wrong address assigned to their member ID at that point in time, the seller should cancel the order (citing a problem with the buyer address) refund payment and start over again with the buyer making the purchase and/or payment with the proper address. This is as I understand the process; maybe the buyer just needs to pay it again with the right address on the account but somehow I don't think that's enough of a step backwards.
You don't say whether you're inquiring as the seller or the buyer but, regardless, make sure all communication with the other party comes through ebay Mesasges so that if there is a problem with the transaction down the road, you can ask eBay Customer Service to step in and analyze what might have gone wrong using those messages as evidence.
