The Intel SGX Installation Guide for Windows OS states:
The add-in and wizard for Microsoft Visual Studio* 2017 IDE or Microsoft Visual Studio* 2019 IDE are also provided separately with vsix as extension name. If it unfortunately fails to install the add-in or wizard, double-click the corresponding vsix files to install them manually.
Follow these steps to find and install the .vsix files for the add-ins:
Rename Intel(R)_SGX_Windows_SDK_2.12.100.4.exe to Intel(R)_SGX_Windows_SDK_2.12.100.4.zip. Double-click the .zip file and navigate to the installs subdirectory where you will find the .vsix files. Extract the .vsix files. Double-click SEWizardVS2019.vsix. Click Next if necessary. Double-click SEConfigureVS2019.vsix. Click Next if necessary. Change the extension of the .zip file back to .exe and install the SDK as usual.