After accepting the licensing agreement, the file will automatically unzip and place an installer in your default download location (probably your Downloads folder located in the Apple Dock). Double-click the installer icon and follow the on-screen instructions accepting the defaults. After you finish, you can delete the installer by dragging it to the Trash.
Note: After the Penn installer completes, the Sophos Home installer program will run. Follow Sophos Home on-screen instructions to finish installing the software. Both installers are needed to provide all components needed to protect your machine. The installation will take several minutes.
Sophos Home