Right click on the Sophos icon in the System Tray and select Open Sophos Anti-Virus
Click on Configure Sophos Anti-Virus
At the dialogue box click on On-access scanning. On the Disinfection tab enable Disinfectitems that contain a virus and select Delete as the secondary action against infected files.
PLEASE NOTE: The above setting will delete file(s) that can not be repaired/disinfected by Sophos. If you do not want file(s) to be deleted choose another option from "Other actions against infected files".