I have managed to get this fixed.
Just follow the instructions here EXACT:
WorldPay Account Section.
Login to your WorldPay admin screen
http://www.worldpay.com/us
In the WorldPay Control Panel screen click 'Configuration Options' for the installation i.d. Enter the Callback URL exactly as follows (including case):
https://<wpdisplay item="MC_callback">
If SSL is not enabled on your website the Callback URL should be:
http://<wpdisplay item="MC_callback">
Enter the Shopper Redirect URL: If you have SSL enabled USE... https://
Change Your-Web-site to your domain name.
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