Sophos for Microsoft SharePoint: installation displays error message

Issue
During installation of Sophos for Microsoft SharePoint, you get an error message:

An installation package for the product Microsoft SQL Server Native Client cannot be found. Try the installation again using a valid copy of the installation package ‘sqlncli.msi’

If you continue with the installation, you will see that some of the SQL components are not installed.
You may get a Microsoft window telling you that SQL had not been installed.

Technical information
This message indicates that a previous installation of SQL Server (Express) failed to complete, for example it may have been cancelled. This could indicate that you cancelled a previous installation of Sophos for Microsoft SharePoint.

Sophos product
Sophos for Microsoft SharePoint

What to do

Remove any components of the previous incomplete installation of SQL Server and restart the installation of  Sophos for Microsoft SharePoint.