You're not infected, don't worry. Like mvario said Sandboxie doesn't prevent apps from running in the sandbox if you don't set it to do that and when they do they act just like they weren't in the sandbox and could install an icon or anything else but don't forget ,in the sandbox, once you delete contents or terminate all programs they will disappear. So that malware did run but only in the sandbox. Go to Sandboxie Control ,right click your default sandbox and "Delete Contents".
A fool with an antivirus tool is still a fool.
If you can't convince them, confuse them.
The last thing I want to do is insult you. But it IS on the list.