Every time I start Gnus I get a message "Gnus auto-save file exists. Do you want to read it?", what does this mean and how to prevent it?
This message means that the last time you used Gnus, it wasn't properly exited and therefore couldn't write its information to disk (e.g., which messages you read), you are now asked if you want to restore that information from the auto-save file.
To prevent this message make sure you exit Gnus via ‘q’ in group buffer instead of just killing Emacs.