What does playing in a sandbox actually look like?

Imagine two kids in their backyard, playing in a large sandbox under a jungle gym. One of the kids pushes a bunch of sand together into a big mound, then starts to form that mound into a castle. She uses the good damp sand to help hold her structures together and uses tools to compress the sand. Her toy shovel lets her castle walls have a certain smoothness that is very appealing. She builds four towers, each of which has a flat top upon which she can set plastic figures. In the end, she is very happy with her creation, one born of her own mind.
Her friend isn’t quite sure what to do in the sandbox. He has played in sandboxes before but was always unsure. He looks to his friend for guidance. His friend formed a pile so he copied her, building his own pile. Then his friend started forming walls, and so he tried forming walls. Every step along the way, he looked to his friend for guidance, to show him how to play in the sand, and what to build.
It is often similar in D&D. Players want the freedom to play in the metaphorical sandbox game but often don’t know what to do when they get there. This is why so many are content with being railroaded. They learn that the right way to play is to see what is offered by the DM, and to respond instead of create. They wait for input, from the other players and the eager DM, before deciding what their character will do, or even WANTS to do.

Think about how your players approach the game.