Subdomains can take a few hours to propagate. Not as along as when you change your nameservers, but it's not instant.
Anyway, what you can do in the interim is temporarily add an entry to your HOSTS file on your local pc. You can find out the IP address that DreamHost has assigned to your subdomain by clicking on the DNS link in "Manage Domains". Then add a line with that IP address and the fully qualified subdomain name (sandbox.mywebsite.com) to your hosts file - typically it's in c:\windows\system32\drivers\etc.
At any rate, I suspect I'm too late and DNS has propagated and you're working on the sandbox already. Well, it's good info for the next time!
Glad to be of service!
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