A "Security Gateway" is an endpoint of a VPN connection. Before installing, you must place your security gateway in its proper place on your network.
Ideally a security gateway has one interface on the "outside" and one on the subnet you want to make the VPN to, on the border of your network:
Make sure, if at all possible, that the Security Gateway is not behind a firewall. The VPN suite will work from behind a firewall but it is often much harder to configure properly.
There are two typical installation scenerios: