Currently we have Sonicwall as our network gateway and I'm planning to use Forefront TMG for our web filtering purpose without changing Sonicwall as our primary GW.
Is there a Forefront TMG client app which I can just install on our domain client computers for filtering to work via TMG?
I would avoid TMG, as to my knowledge, it is discontinued. Personally, i'd also steer clear of web filter clients, unless you have a real need to run one - perhaps off-site filtering. Generally they're a bit more hassle than they are worth. Domain clients should happily take a proxy, and authenticate against it with Kerberos.
There are numerous excellent good value alternatives to TMG from companies like Bluecoat, Smoothwall, etc.