I tried to install NetExtender client from SSL-VPN website to Windows XP (x64) with IE8 but getting "Failed to install NetExtender, the installation has been rolled back!" message. I already added the SSL-VPN address to trusted site and set the security level to Low. Could you advise me regarding this issue?

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 https://IP-or-DomainName to trusted sites, and set trusted sites security level to LOW.
• Popup blocker. Disable all third party popup blockers.
• Anti-virus or anti-spyware. Temporarily disable all third party anti-virus or anti-spyware solutions.