Most likely Sigma Chess is stronger than you, in which case you might want to adjust its playing strength via the Sigma Chess Rating Dialog which is opened from the Level menu:
The Sigma Chess Rating Dialog
Playing a much too strong opponent is generally not a good idea. Apart from being discouraging, one is also less likely to improve if the games are lost too often and too quickly. Therefore you should not hesitate reducing Sigma Chess's playing strength (ELO rating) with the above dialog. Of course this also works the other way around. If you are a very strong player, you will not benefit from playing a much weaker player - on the contrary, you might adopt some bad habits!
If your computer isn't fast enough, Sigma Chess may not be able to play at the specified ELO strength. If so it will notify you after having analyzed its first move. Note also, that chess programs are generally stronger in fast time controls (e.g. blitz) against human players, because under such conditions the human player is more likely to make a tactical error. This means, for example, that when you play a blitz game against Sigma Chess at the, say, 2000 ELO setting, it's actually more like playing a human opponent at 2150 - 2200 ELO.
If you have selected another engine than the built-in Sigma Chess engine (see the UCI Engines section), the above dialog will apply to that engine instead.
Before rating your first game your should fill in your current/initial rating by pressing the "Reset..." button in the Player Rating dialog (which is opened from the Level menu). If you are not sure what your current rating is, just leave it at the default 1200 ELO:
The Player Rating Dialog
When a rated game is over, your new rating will then be calculated based on the outcome of the game. Note, that if you for some reason do not complete the game, the game will be considered lost and your rating will be adjusted (decreased) accordingly.
Sigma Chess 6.2.1 User's Manual - Copyright (C) 2011, Ole K. Christensen