Hi,
When you save the settings of the PxPay payment method, it has to write a file pxpay_XX.php where XX is the id of the payment method, in the root folder of your website.
That way, when customers are redirected back to your website, they go through that file.
That's because the number of letters is limited for the return URL, so if you want to have a return page with a long URL, you have to give a smaller URL which then redirects to the longer one.
The error you get indicates that the plugin couldn't write that file.
So make sure that your website root folder is writable and save again the settings of your payment method. It will try to create again the file at the root of your website.