If you are running OS X 10.8 or lower, please refer to SonicWall NetExtender for OS X Mavericks, this only works for 10.9 Mavericks and above.
Step 1: Download from the App Store
It’s available here: Sonicwall Mobile Connect.
There is no Step 2.
The best part of this new edition is that this is a real OS X app and it integrates with Apple’s VPN settings.
Which means you only need to run it once, to set up and test the VPN connection. After that, you can access it from the Network System Preference or the VPN menu at any time.
Tip: If the Apple version of the VPN does not work, try again via the Sonicwall Mobile Connect app. When it asks you to accept the expired certificate, click Show Certificate, then choose Trust from the popups. Enter your password and the Apple VPN version will work from then on.
I have also been told that some older SonicWall’s may not be supported, so I cannot guarantee this will work for you.