There are a number of different things that may have gone wrong in your installation. First, download a fresh copy from the Knowledge Base (maybe unnecessary, but it never hurts just in case the download was corrupted). If you are concerned about the authenticity of the file you downloaded, use a freeware utility like MD5sums to check the MD5 checksum of the file against that posted in the article.
When you run the executable, it will unzip to %SystemRoot%\Sophos_Installer_<YYYY-MM-DD>. Before you do anything else, make sure that all anti-virus programs (McAfee, Norton/Symantec, and Sophos) are completely removed. Check the Add/Remove Programs (in Vista, this is now called Programs and Features) listing in Control Panel. Then, reboot and execute the setup file with no other programs running. You don’t necessarily have to disable background programs or services, but foreground programs like Firefox or Word can disrupt the installation process.
If Sophos successfully installs itself, it will put two entries in the Add/Remove Programs list: Sophos Antivirus and Sophos Autoupdate. If you find that it did not install again, check to see which, if any, of these components was installed. If you still can’t fully install everything, but you do see the blue shield in the notification area (next to the clock), right-click on it and choose Configure updating. Select the Logging tab and click the View Log File button. This file will describe what sorts of things are going wrong when you are downloading updates, which is the source of the vast majority of Sophos problems. Contact the Helpdesk if you are still unable to successfully install Sophos on your machine.