This message does not come from the Ingenico module, but from Magento itself.
First check the exception.log for more details. If you see "Given encoding not supported on this OS", please follow the instructions in this article.
Steps for debugging:
If the cause of the problem cannot be found, please edit the file app/code/core/Mage/Checkout/controllers/OnepageController.php
Look for this section:
$result['error'] = $this->__('Unable to set Payment Method.');
Replace that section with this and save the file:
$result['error'] = $e->getMessage();
Now go through the checkout again to reproduce the error. You should get a more detailled error message now.
When you are done, please revert the above modification.