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We've all been there. The GM sets up the game mat, the GM screen, his pens, a bunch of dice, and maybe some figures. He says to the group, "You can do what you want, my world is a sandbox!"
Please, please, please, don't tell the GM you don't believe his world is a sandbox!!!
But keep in mind, there is no such thing as a real sandbox in a roleplaying game. Your success in dealing with your GM is to figure out what he has in mind for your characters to do, and then do it.
Keep a sharp eye for what gaming literature calls "adventure hooks." My experiences as a GM are that sometimes players are rather daft in not knowing an adventure hook when they see it. Adventure hooks are sometimes disguised as seemingly random encounters with NPC's who have some problem they wish to speak about with the PC's. Sometimes the situation is so subtle that the PC will walk away from the NPC, and hence the adventure that the GM has planned.
Here's one I ran a few months ago. The setting was an inn, and I had made up the innkeeper, the innkeeper's family, and the customers of the inn. Each NPC had a complicated situation within my game world, or a problem they needed to deal with, or information they wished to convey. I ran the encounter with the first group, and they went about the inn, not realizing that these NPC's were the adventure. They were stuck in traditional mode of thinking, which is "Where's the dungeon?" Well, there was a traditional dungeon, but there was so much more, and the first group missed most of it.
The second group realized immediately what was up. They talked to a girl who wanted to join the Medea priestesses. So they talked to her parents and got permission that she could go do that. They talked to a pregnant teenager, who was in trouble because her elf boyfriend didn't want anything to do with her. They solved her problems too, getting permission from the elf lord that she could raise her half-elf child in their village. I kept giving them experience points for every problem they solved for an NPC and finally it was enough to raise a level.
What I'm saying is that sometimes an adventure hook will be obvious, like a "dark stranger in the corner," or a wanted poster on a bulletin board, or the mayor walking over to your table and asking for help. But if your GM is trying to do a sandbox, he may hide his adventure hooks so that it takes some smarts to find them. But be assured, there are always adventure hooks, so give your GM a break and take advantage of them.