It works surprisingly well when I tested it, hmm, about one and a half years ago.
None of the drive-by downloads I tried at the time were able to get at the host system, and you couldn't download anything to the host system either.
I'd rather set up a free virtual appliance running Linux with Firefox in it, however, for setting up a truly bulletproof browsing sandbox, but sandboxie isn't bad.
-Llama