Theft of intellectual property / copyright infringment

Assuming you have registered your albums with the Copyright office, a prerequisite for filing a copyright infringement action, you may demand that the infringer cease and desist their actions, furthermore you may sue them based on copyright infringement, prevent further sales on e-bay or on any Internet site by targeting the ISP.
Your copyright registration will be valid in Europe via the Berna agreements.

As rightly noted by Mr. Golab, registering the copyrights in the music and the sound recordings is your first step.

It's a very rare occasion, however, when only one person is the author of all the words, music, and sound recordings on an album. It is even more rare for private labels to have in place with all the writers and performers on an album all the written contracts necessary to transfer to the label (or to whomever) all those person's copyright interests in the finished products. I suggest, therefore, that you do some homework before you conclude that you're "the sole copyright holder" or become too involved in this matter.

A good layman's book on the subject is "Moser on Music Copyright." You ought to study his chapter on copyright ownership, then the chapter on copyright registration, then the one on copyright enforcement, and lastly the two on international issues and online issues. After reading this material you should have a good grasp of the applicable rules. Then you can decide whether to invest your time and money on this matter -- which, it seems to me, ought to be focused on your getting paid for the sale of the cd's rather than on stopping their sales.