Q: Update to ios9 beta message on screen

Follow the directions here: https://beta.apple.com/sp/betaprogram/unenroll#ios

You will not be able to install iOS 9.1, it is no longer being signed. You will have to restore to iOS 9.2. You will get an error if you attempt to restore to iOS 9.1, plus I wonder where you are downloading from, if it is a trusted site.

iOS 9.2 is the current version update to that. Also see the directions in the above link.

No, you need to just connect to iTunes and click on Restore.

Check your internet connection. Also, has this device been jailbroken? Has the computer ever been used to jailbreak a device? Sounds like a problem in your host file.

Did you try to install a different ipsw before you just connected to iTunes? What version of iTunes do you have, not current, please report the version number. Then what computer OS are you using? And, can you check in Settings>General, do you have the beta iOS installed on the device?  Is this a used iPhone that you bought from an individual?

I would say yes. Sounds like the device was not wiped for you to use. Let's hope the previous owner had removed the device from their iCloud account, or you are not going to be able to activate it.

IF you continue to have issues, try the information here in this support document and use the section under Go back to current version of iOS. About iOS beta software - Apple Support