after i uninstalled the program some files on my desktop had gone, in sandbox it had a 'desktop view' and i could see some files i downloaded today after i uninstalled they were gone?
anyone had the same trouble or anyone could help?

Did you download them into the sandbox? If you did then they are probably gone for good.

download them into?
i dont think i did.

You were using this right?
http://www.sandboxie.com/

The way that program works is it keeps all programs that are sandboxed from making any changes to your hard drive. So lets say you have IE sandboxed and download ccleaner's installer. Well if you then go and uninstall sandboxie the installer to ccleaner will be gone because it was in sandboxie's directory. You would have to take the files out of sandboxies directory to keep them after installing.

Thats how that program provides security. If you get something bad just clear the sandbox because it couldnt access your hard drive. That being said I think this is a great form of security if your willing to deal with it. Personally I think its more trouble than its worth.

whats sandbox?

i believe rridgely's link point to the answer.