Thanks to Dani for the debugging script!!
I've found the following problems with my confirm.php page that I have corrected and it now works!!
'State/Provence too long' - this seems to suggest that you need to use the abbreviated american state format (2 letters) that the wizard inserts. I had changed mine to a text box for UK users and this caused an error. In Dreamweaver, double-click the 'Authentication for Protx VSP Server' property in the applications tab, and delete the entries for both BillingState and DeliveryState from the wizard (make them blank). I have left my 'State/Provence' text box on the 'checkout.php' page so that I can enter this into my orderdetails table with the rest of the delivery info.
'IP not registered'. The site has its own IP address (for SSL cert) but I also had to add the actual server IP to MySagePay (both test and live).
I now get through to the SagePay payment pages.
Hope this helps!!!