I am not overly familiar with SquidGuard, but I have some suggestions. Can the user you are running Squid as, typically 'squid', execute the squidGuard binary? What error messages do you get in the Squid and/or SquidGuard logs? I've also had this tutorial for squidGuard recommended to me.
Lastly, have you posted your question to the Squid or SquidGuard mailing lists? The regulars there will almost certainly be able to help you -- though always remember the basic rule of support -- provide all the possible information you can about your Squid, SquidGuard, operating system and general configurations.
This was first published in June 2007