Hello, I have this specific problem, sometimes when I try to login into my client, I can't 'cause the login window never open and the show status windows is blank, no info, and the icon is showing red and yellow at the same time, I hope you can help me
This is very strange indeed. I could imagine that it might be a bug in the software or that certain dependencies are missing, which are not included in the installation, for whatever reason. What happens if you start is as administrator? Maybe this could help out.
In general it might be worth to open a support request here. Unfortunately there are not many support articles about Sophos's in-house SSL VPN Client, so I can't help you personally. With a support request Sophos can help you individually and may even receive a bug report directly from you, which can be passed on to the product team internally.
Until then my only advice is to use one of the SSL VPN client alternatives. Maybe also someone else in the community can help you, who is more familiar with the VPN Client.
In any case I wish you good luck! I'm sorry that I couldn't help you directly. 
