The PayPal Sandbox is basically the testing area for PayPal where you can test payments without spending real money. You can read more about this Sandbox on the developers portal of PayPal: https://developer.paypal.com/
The payment that your client has done is almost certainly not completed, unless the client has a PayPal Sandbox account (linked to your main PayPal account). If you haven't set this up on purpose, it is not happening, so probably not in your case.
Your client needs to make a new purchase since they haven't made an account. If they did make an account they could just log in, go to the My Account page and pay the order from there.