Ah, I see the problem!
SagePay offers you the choice to do remote checkout (on their server) or local checkout (on your server)
when you ran the checkout wizard, you chose SagePay, on the left, and then chose the second option (VSP Server) on the right, which means SagePay is expecting YOU to collect the credit card data, and pass it on to them
What you want to do instead, then, is to chose the first option, VSP Form (process payments at providers site)
Hope that helps.