I want to start building my site, should I proceed or wait til I am approved for us and uk?
Yes, you should start building your site otherwise EPN will not approve your application. You need to build a site which your registered with EPN. Here is more information I took from EPN forum...
We have been receiving a large number of weekly applicants to the US program. While the US program is still very much open to new members, and we let over a thousand new publishers this last week alone, we are setting high standards for the program and want to make sure our newest partners can meet those expectations.
If you are interested in applying, there are a few tips you should keep in mind. Please make sure you fill out the description as completely as possible, and make sure it is descriptive. Fill out the URLs that you plan to send us traffic from and make sure they are valid website addresses that will yield interested buyers. As an extreme example, an affiliate that helps potential buyers find and research sporting goods and then points them to great deals on eBay is going to get higher consideration than an affiliate that wants to put our banners on a ringtone site with limited targeted content and limited relevance to eBay. If your URLs aren’t ready or you don’t know the URLs, you may want to wait until your websites are ready or you have more information before re-applying.