Complete the installation regardless of those warnings. Then...
1.) Use FTP to create a new folder in your account root (see the following directory structure)
/home/youraccount/public_html/[your-joomla-files-are-here]
/home/youraccount/[sessions]
This new folder (sessions) is one level up from your joomla install. It is outside of public_html and therefore not publicly viewable.
Open up (or create a new one if none exists) .htaccess file which is found in your public_html folder and add the following line at the end of it:
php_value session.save_path /home/youraccount/sessions/
Then open up globals.php (found in your joomla root - directly under the public_html folder) and look for the following line:
define( 'RG_EMULATION', 1 );
It should be around line 24. Change it to :
define( 'RG_EMULATION', 0 );