The user who runs the Joomla PHP files (i.e. the user who runs your web server) is not allowed to write to the folder in which the Joomla site is currently located. This means that the installation process cannot automatically create the file.
Options:
1.) You need to change the permissions in the folder so that your web server can create the file. I suggest you change them later.
2.) Create the confguration.php file yourself and place it in the folder in which Joomla is located.
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