I found a sandbox module that I want to test.
What should I do to use it on my site?
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The easiest thing to do is to get a version of git for your machine. On Windows, TortiseGIt works reasonably well. You can then use that to checkout a version of the sandbox module. If there are patches, you can apply them to the module. Then you just need to upload the module to your Drupal site with your normal methods (don't forget to run update.php).
A lot of this is made easier if you are using an IDE, as newer ones are well integrated with git.