Sanboxing is running a program inside an isolated folder away from your Windows System files and registry to prevent harmful programs and files from harming your Windows System files or registry. Sandboxing can also be used for running beta or alpha programs which can also break windows.
Sandboxie makes a great program for sandboxing your programs from your system files and registry for Windows.
Read How to sandbox with sandboxie your programs to prevent viruses, and bad programs from damaging windows. if you like to learn more about Sandboxie.
Comodo recently came out with a new sandbox program for its Defense+ firewall. It automatically, sandboxs unknown applications and files.
You can download sandboxie at http://sandboxie.com
Note: The free version of Sandboxie has a pop-up when the trial period expires, but it can still be use for free.
You can download Comodo Firewall which comes bundle with a Defense+ sandbox at http://comodo.com
Programs which are a good idea to Sandbox are Web browsers, E-mail Clients (Outlook, Thunderbird,etc), Unknown files sent to you by friends,etc.
Sandboxing is kind of like virtualization, but virtualization is more secure since it does not touches the host operating system. It emulates a OS inside a virtual hard drive which is not directly connected with any Windows system files.
You should still practice good computer security skills like not going to piracy sites, random download sites,using p2p file sharing clients or visiting suggestive websites and having an updated anti-virus, firewall, anti-spyware and anti-malware program! Hackers, virus makers, and other people are always finding new ways to infect your computer!