Taken form the wiki:
Installing the Windows version
When you click on the downloaded file it will ask you where you want to install Sandbox. If you click the three dots to the right you can browse your computer and select where you'd like to place sandbox. After you are satisfied with where it is to install hit extract. The sandbox folder will then be created where you chose to install it. Locate the folder and enter it. Click on the file that says "(clickheretostart)" and it should launch. To launch the carts click on the file that says "cartmode".
Installing the multi-platform version
The multi-platform version works on Windows, Linux and Mac.
To install Sandbox in a Linux based operating system, simply download the latest sandbox multi platform zip we have available and extract it into a directory of your choice, then use chmod +x to give sandbox_unix or _SandboxLauncher executable permissions, (for the non console savvy, GNOME and KDE allow these changes on the file's properties screen). the sandbox_unix script will take care of permissions, so you may wish to run it first before resorting to the launcher.
If you wish for a system wide install, one that'll require you to only type 'sandbox' followed by any desired command line options to run the program, go into the src directory and give the install.sh script executable permissions, and then run it, it'll set everything up for you. Note: all your files will, from here on out, be saved in ~/.platinumarts.
The Makefile contains a wrapper for this, "make distinstall", if there's any problems, see the compilation page.
Platinum Arts Sandbox Game Maker is included in Debian 6.0 (Squeeze), Ubuntu 10.10 (Maverick), and later releases. It will be in the contrib and multiverse repositories, respectively. The packages can be installed through apt-get, aptitude, synaptic, etc. The package will install links in the application-> games menu. From the command line, type "sandbox_unix_usr -h" for options on how to use.
In Ubuntu you can also install through the "Ubuntu Software Center."
Additional information and notes on the forum.
Ubuntu users can also retrieve the packages from playdeb.net. see here for use instructions
We'll leave it to you, chances are you'll want to put it in the applications, but first, before you do that, you'll have to compile your own binaries until we can provide them for.