You can not play many steam games through Sandboxie.
You can start steam in sandboxie but if you want to play Age of empires 2 DE it will not start.
Steam Games
Re: Steam Games
Have you tried sandboxing a browser and downloading and installing another instance of the steam client in the sandbox? I would try that and then have the sandbox seam download and install the game you want. Assuming Steam servers allow you to run 2 copies of the same game... I would think it would work...