Hi Baljeet,
Depending upon the requirement and network topology, we can install SWG VM in following monitoring mode,
1) Tap Monitoring
2) inline Monitoring
3) proxy Monitoring
4) inline + proxy monitoring
Which monitoring, you would like to install...
I would recommend you to please go through the Symantec_Web_Gateway_5.1_Implementation_Guide_EN#2.pdf for more info.
Thanks,
Partha