There are a couple of points here so I will try and address them one at a time :-
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The file 'wp-config.php' already exists
If you have got past the initial stage already then the WP installation will have attempted to create the wp-config.php file for you, and in your case it sounds like the installation process has created the WP config file. If you want to start over again you can either 1) Ignore the message and carry on. As long as the values in the config file are correct then this will not cause a problem. 2) Rename the file to something like wp-config-1.php. However everytime you re-run the installation you will need to rename the file to something different each time. 3) Delete the file (even though I know you have said you do not want to). It will not cause a problem if you do, as the WP installation process should create it for you again.
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"...failed to open stream..."
A quick search on google seems to suggest that in this case it sounds as if something has not gone quite right with the extract and upload to the website. I would strongly recommend seeing if you can verify the correct file structure of your Wordpress install on the server. Something else to try would be to check the permissions, but with current versions of Wordpress this is probably not an issue. If you are using CPanel I believe there is a File Manager option which, if you open it and navigate to the relevant folder, should be able to tell you what the permissions are.
Good luck with your install, and I hope you get it working.