1) If you use Windows 7 or Vista, you could try running as administrator.
2) Or (i have XP so I can only explain this method for XP).
Go to Control Panel
Then "Security Center"
Then "Windows Firewall"
Then "Exeptions"
Check if Sandbox is on the list, and be sure to tick the box by it, if not click "add program" and choose the Sandbox exe file, which you use to run it (the launcher or whatever)
IF YOU HAVE A SEPARATE FIREWALL PROGRAM (to windows firewall) THIS MAY NOT WORK
3) Also, it may not be working if you have moved the folder from where you installed it. If you want to move it, reinstall it to the new location, not move it. This is sometimes a problem which causes this :
Next, when I click play: Try moving the game folder contain sandbox so that the path doesn't contain weird characters, or start sandbox manually.
which you said.