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Hi Billy,
Thank you for reaching out to Sophos Community.
Do you have an OpenVPN installed on your computer?
nope
Hi Billy Chang
Please refer to the below KBA link to resolve your issue
https://docs.sophos.com/nsg/sophos-firewall/19.5/Help/en-us/webhelp/onlinehelp/AdministratorHelp/RemoteAccessVPN/HowToArticles/RAVPNSSLWithSConClient/index.html#install-and-configure-sophos-connect-client-on-endpoints
Thanks and Regards
Its work with these , thanks for help . Appreciate.