Interesting. How long ago was this? I've used Sandboxie for around 10 years and in that entire time, it has always just been a matter of right-clicking the program and "Run Sandboxed", even trivially accessing the sandboxed start menu via the notification icon.
I agree, been using Sandboxie for way over 6 years now and it's the easiest thing ever to use.
Yes it's one of the examples of brilliant coding marred by a very unintuitive user interface.
I've used it many times on occasion but always end up uninstalling it because it makes such simple things so complicated.