Reply to the winning bidder that you will not ship outside the USA as you specified such in the listing. Cancel all their bids, state why and then offer the item to the next highest bidder via the second chance option. You can also report the bidder to Ebay for 'Unwelcome and Malicious bidding' which usually makes the scammers back off a bit.
Once their bids have been cancelled, the auction will automatically revert to the next highest bidder automatically and you can proceed from there.
Don't be scared of the possibility of negative feedback from them. Remember, you CAN reply to such feedback citing 2 simple words which will have a devestating effect on their future bids with people ... 'Nigerian Scammer'. Use the tools you have to their greatest effect :-)
