They may well have sent it Dennis. I know it doesn't help you atm but this might help lighten the feeling.
A couple of years ago I purchased online an OCR program from Europe, It was about $300 Aus so not cheap. Well I waited and waited, they said it would be about 6 weeks

but being a newbie at internet buying I accepted that. After 2 months I contacted them again and they assured me they had sent it. A month later I contacted them again and again they assured me they had sent it. This went on for 7 months (I still have all the emails). Finally I had had enough (I am a very patient person normally but even I have my limits) and requested my money back. They said np that all I needed to do was email them a scanned signed Affidavit stating I hadn't received the disc and they would refund my money. I did as they asked and by the next week my money had been returned. That was on a Tuesday (important to keep records like this) and I kid you not, without a word of a lie, the Disc turned up on the Thursday. True story! I couldn't believe it! Now that left me with a quandary. I had already sent the affidavit (which was correct at the time) and had been refunded the money. Do I send the disk back, repay the money, or keep my mouth shut. Sometimes I am just too honest
I know it doesn't help you but it's a good story and you stuff really could be in the mail.