Like most people who use the Sophos UTM Home Firewall Software, I do not use the CD-ROM installation method. Previously I've never had any problems converting it to a bootable USB stick, and firing things up.
This time - problems.
Install came up, and promptly fell over after initialising the drive with "Install.tar not on installation media" or something along those lines.
After a few hours searching the internet I found the solution; the Install folder was not being mounted properly by the installer.
- Start the installation, and after the hardware detection do NOT hit Next.
- Hit Alt+F2 to switch to the console
- mount /dev/sdb2 /install
- Switch back to the install, and complete as normal
You may need to copy the contents of install to the root of the usb stick - I did this previously anyway, as it was a trial an error with another issue (don't know if it helped, but not going back to find out!).