That's right, you've already got a file by that name in the output directory.
When you see that warning dialogue, click "Cancel" which will take you right back to the LR/Enfuse dialogue. Check the Append option in the tab labeled "4. Output" and type in something like "02" which will automatically be added to your filename, just to the left of the "dot". Now go ahead with that new filename. Of course, it's often useful to just overwrite the previous file if you are simply experimenting for best result.
Nice program. Very subtle HDR compression that is miles ahead of anything available from the almost apoplectic PS HDR stuff.