https://community.sophos.com/sophos-xg-firewall/f/discussions/88341/how-to-install-and-login-the-ssl-vpn-client-for-windows-10

Step 1:

• Access your hidden tray icons
• Look for the icon that has 3 squares one of them being red

Step 2:

• Right-Click the VPN icon and select "Connect"

Step 3:

• Login using your same Username and Password that you use to login at a computer

Step 4:

• Verify your connection by seeing if the tray icon went from Red to Green