Sandboxie lets you run programs in an isolated space which prevents them from making permanent changes to other programs and data in your computer.
When you browse the web, changes occur to your computer system. Most of the time these changes are harmless, like recording the addresses of web sites you have visited (and when), so the browser can help you complete a web address that you type in. Whether these changes are harmless or harmful, they do in fact happen to your computer system.
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Note: Sandboxie is now free
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