Is the message you received from the same ebay id that purchased the item? If not, then ignore the message as you don't know who it is from. Has the buyer already paid? If not, tell him that he can add the new name and address through ebay when he is making payment.
If the buyer has already paid and the service you are using doesn't have delivery confirmation anyway, then it doesn't really matter if you send it to a different address as there is no way of proving the item was sent if there is an item not received claim opened. I've sent items to new addresses a few times and never had a problem but it is up to you how you handle it. Ebay has said that if the buyer specifies in an ebay message that they want it sent to a new address, they will look at the messages and you could win the claim if you have delivery confirmation to the new address. But if a PP claim was opened, PP would rule in the buyer's favour if the item was sent to an address other than what was used with payment.
If payment has been made already and you are uncomfortable sending to a new address, you would have to cancel the sale through ebay (use the reason problem with address) and ask the buyer to make the purchase again. You could relist it as a fixed price listing at a really high price with a make offer function. Ask the buyer to make an offer for what they originally paid for the item and you will accept the offer. You would want to prevent someone different from buying that same item before the buyer does which is why I suggested using the offer function.
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