Step 1: Go to https://my.sophos.com/ and login with sophos information.

Step 2: Select device on dashboard then follow the steps on image to enable game detection.

Step 3: Add file path to the exceptions section under the same tab as Game Detection

example: 

Adding Exclusions (excludes malicious behavior detections)

Step 1: Click on Sophos Home icon, to open up Sophos.

Step 2: Follow the image instructions and click on add local exclusion and select the program's executable file (.exe) you wish to exclude