The MySQL msg is ok on preflight as it does not know where the DB is yet.

The other 2 are trouble and not ones that you can correct directly. Contact your host and determine if they can enable curl and the php sessions to writeable. I am fairly positive that these are needed or at least so that you do not have glitches later on.

If you are not very invested in the win platform at this time you might see if you can be moved to a Linux/Apache server, I know that this platform is smoother for zencart.

About your pages, Zencart does not use preformed pages but instread dynamically assembles pages via the php calls. So these pages are of no use.

And lastly, yes they are refering to DB information

DB name
DB username
DB user pass
DB path (localhost is sufficient for most servers)