Sophos Client Authentication Agent issue with MSI package and the certificate

ok understand, but I cannot see the download files?

You mean the content or the installation destination ? 

destination and content

Destination - C:\Program Files (x86)\Sophos\Client Authentication Agent\
Content - Just the client exe and cert installation guide.

Sorry again, I cannot find any MSI files to download. Where can I download the Files? And after download, I wan to deploy the MSI agent on many machines. How can I be sure that the CA is installed too? If I install the EXE File, it is installing the CA too and I dont need any thing, but with only MSI Installation does not work the CA

You can use the GPO method to deploy this to many clients. You'll be able to download the following:

CAASetup.msi - Download and share the MSI authentication client (client authentication agent) with users.
ClientAuthentication_CA.pem - Download the CA certificate and share it with users.

Either I cannot explain my issue or you understand my question wrong.. I dont use GPO for deploying, I am using SCCM from Microsoft to deploy. So I can deploy the the CAASetup.msi and it works, but how can I add the CA in that MSI file to deploy?

You can refer - Creating an MSI Package OR Create the Windows Installer File (*.msi)

Why should I create a MSI package? CAAsetup.msi is a MSI Package? You mean for CA? IS there any way to deploy CAAsetup.msi with CA together? I dont want to experiment and create any MSI Package.