A sandbox in RPG terms is generally a starting area or setting where the adventurers can go in whatever direction they choose and find adventure. As they expand their explorations the DM/GM adds to the fringes of the sandbox.
The simplest example is a town for a home base/safe place to rest, recuperate, sell off loot, and restock for the next adventure. The town is in the middle of a certain amount of terrain, usually what the players could travel in a day or two.
This limits the scope of what the DM has to prepare in advance, yet allows the players to decide what they will do.
This is the opposite of a railroad, where the DM does not give the players a choice in what they do and where they go. This tends to be GM’s that have designed an elaborate scenario and want all their cool work to be seen and appreciated by the players.
The DM of a sandbox style of play will have dungeons and treasures that the players may never find. This is not a bad thing as the DM will have a larger stock of material for the future, or if multiple groups of players are running around the same general area.