Drainage after a rain storm, shade for the kids who may play for hours out there, line of sight for the adults watching over the kids, proper type of sand (see tips below)
2. Get black plastic garden tarp.
3. Get 2X4's or 2X6's that will fit the size of area you need. Consider wood that has been treated and is non toxic or synthetic decking 'wood.'
4. Dig a 3-inch-deep hole in the squared area with a shovel.
5. Take your boards and put three nails or screws in from top to bottom.
6. Lay the boards (which now should be in the shape of a square) and take the black plastic garden tarp and lay it on one side of the square to the other and do this until the square is covered completely. Staple the plastic to the boards.
7. Flip the square over and set it in inside the hole.
Consider a seating rail around the inside or outside of the sandbox where the kids can sit or place toys.
Bigger is better for the kids. A little sandbox doesn't allow for friends.
Don't use plastic. You'll end up with a muddy swimming pool after it rains. Use landscape fabric so the water can drain naturally.
If there are lots of cats, rabbits, other 'friendly' creatures in your area, consider enclosing the sandbox in screening or chicken wire so the kids aren't playing in animal droppings.