You have two options.
1) You can install the regular SEP onto the embeded platform.
A) This requires that you have a lot of free room on c:\. If you have a Wyse with 2GB total C:\ space, this is not an option.
B) You must have the write filter turned off. Not all installes of embeded utilize the write filter. If you do, then updates to the components will cause endless loops. e.g. 11.0.6 to 11.0.6100.
C) If you are using a RAM DRIVE for %TEMP% you must have more than the 32MB-64MB Wyse and others setup. You need at least 128MB. So your thin client must have at least 1GB of RAM.
2) Use the product built for this; http://www.symantec.com/en/uk/business/endpoint-protection-for-windows-xp-embedded
This is not included with your Symantec Endpoint Standard/Enterprise license and requieres an additional purchase.