SonicWall is currently tracking an issue regarding NetExtender hangs on Windows 10 Technology Preview. I would recommend monitoring their forums and sites for an official fix from them for the issue. Please let me know if you have any questions.

In Windows your security settings need to be set to accommodating this installation you can find the security settings for IE8 by going to tools then internet options set your security to low from your question it reads that you have done this already my research bring me to this option please read below. Article Applies To: SonicWALL SMB SSL-VPN Appliances and Software: SMB SSL-VPN 2000, SMB SSL-VPN 4000, NetExtender Firmware/Software Version: 2.5 or higher Problem Definition: When installing NetExtender on any supported Windows operating system, the error 'Failed to install NetExtender, the installation has been rolled back' may be observed, especially when the operating system is installed on a drive other than the default. This issue is resolved by upgrading the SSL VPN 2000 or 4000 appliance to firmware version 2.5 or higher and making another installation attempt. Resolution or Workaround: For each of the following possible causes of this behavior, an explanation, workaround, or solution is provided: • User does not have administrative privileges. With 2.5.x.x firmware and above, administrative privileges are required for initial installation only, previous versions require administrative privileges for each update. • Browser security settings. Add to trusted sites, and set trusted sites security level to LOW.

• Popup blocker. Disable all third party popup blockers. Creative playcenter 2 software. • Anti-virus or anti-spyware. Temporarily disable all third party anti-virus or anti-spyware solutions.

Source: SSL VPN 2000/4000 2.5 Release Notes this has been copied from doing my research this is not my material but a help post from another source. Thanks for using FixYa! Do not forget to vote for me. John Posted on Mar 12, 2011.