In addition to the error message on the page you are getting to you should add the full request and full response info, this should give you a more specific cause for the error.
When you use Sage Pay there is no local checkout option, you can choose either remote or notification checkout. The notification checkout should produce a checkout that you can enter a credit card into and keep the user on your site.
If you need to start over again you can delete all of the checkout files and use the checkout wizard to recreate them. It is always a good idea to make a backup of any pages first just in case.