Yes, it has been discussed here before in a few threads.
IMO Sandboxie is an excellent program. It can sandbox any program but is most commonly used with browsers and email clients (obvious avenues of attack). It sandboxes these programs similar to what an VM does for your OS. Any changes that occur during a session are erased when the program is closed (takes minor configuration). You must also configure it to have access to bookmarks, history, etc. Any program running in a sandbox cannot alter system files. Even if you install a malicious program or are a victim of a drive by attack, no changes are made to your system if your browser is running sandboxed. You can still run your browser without the supervision of Sandboxie and this is needed from time to time to install updates.
Upon installation, Sandboxie creates a desktop and quick launch icon. Clicking that icon will launch the default browser sandboxed. Clicking the browser's regular icon will not sandbox the program. If you'd like to test a new program before you actually install it, you can right click on the installer and choose "run sandboxed". If you decide you don't want the program, closing it will delete it entirely from your system, no registry issues, program files, etc. because it was never actually installed on your computer it was installed in the sandbox.
Tweak also mentioned another similiar product called GeSWall. I haven't tried that one but I have Sandboxie installed on all of my Windows machines and I do not surf without it. It's a fantastic program and provides tremendous protection.
Sandboxie is free but throws up a nag screen after 30 days. The paid version offers automatic sandboxing of whatever programs you specify and the ability to have multiple sandboxes. The nag screen only stays up for 5 seconds and I just use the free version

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The last discussion about Sandboxie said that the author is working on a 64 bit version. Previously it only worked on 32 bit systems because of the limitations involved with Patchguard.
Kevin