1. Download and open the installation file. For the download you need to log in with your personal account.
You can find the installation file here: Sophos Endpoint Agent.

2. Click Install to start the installation

3. After the installation is complete, you still need to make one adjustment for Sophos to work fully.
After installation is complete, open Sophos and click About -> Run Diagnostic Tools

4. Click on Prerequisites and then on Open Security & Privacy

5. In the Privacy&Security item, click Some system software needs your attention before you can use it on Details.

6. Allow the apps belonging to Sophos to access administrative settings, as shown in the screenshot.