The headers already sent error usually includes a section in parenthesis that starts "Output started at" this is the key section of the error for troubleshooting the cause.
see this thread for details on troubleshooting the header already sent error:
to answer the initial questions:
1) you can have any page from your site open when you start the security assist wizard, it should not be the template.
2) That error means that the go to page is not based on the template that was selected on the first page of the security assist wizard. on the first page of the security assist wizard, you can select your site template from a drop down list and set the editable region for the security assist content to be placed in, if you do not select a template on the first step of the wizard, but select a page that is based on a template for the go to page, you will get that error.