Sandbox is useful for testing out strategies, theories, tactics, and even learning parts of the game. You can start up a sandbox skirmish with multiple 'sides' (any faction - and control all of them at once, hence the name 'sandbox mode' because it's as if you control the entire battlefield. There is really no way to win against an enemy because you are, in actuality, playing versus yourself.
To start the Sandbox, setup a Skirmish game. Press Game Options, then select Sandbox under Victory Condition.