Sandboxie runs your programs in an isolated space which prevents them from making permanent changes to other programs and data in your computer.
When you browse the web, changes occur to your computer system. Most of the time these changes are harmless, like recording the addresses of web sites you have visited (and when), so the browser can help you complete a web address that you type in. Whether these changes are harmless or harmful, they do in fact happen to your computer system.
When you use Sandboxie to protect your browsing session, it catches all these changes just as the browser is about to apply them into your computer system. Sandboxie does record these changes on behalf of the browser, but it records them in a special isolated folder, called the sandbox.
The benefit of having a sandbox is that it ensures your ability to get rid of all changes done by the browser, simply by deleting the sandbox folder.