Welcome to the forum.
You're in for a bit of a learning curve, not with Avast specifically, but with computer operation generally.
First, Avast.
The auto-sandbox settings are available vie the GUI. (GUI= graphic user interface..more on that later.) It is present to provided a secure environment to run files that might be suspicious. The Adobe programs you downloaded - if downloaded from a reputable source, normally the manufacturers home page - are safe, and use is widespread. The catch is that running them in the sandbox would not allow them to be properly installed to the computer, so the function would be limited, if at all.
I'd like to suggest you go here
http://get.adobe.com/flashplayer/ to download the flash player. (This assumes your browser is Internet Explorer.) Un-tick the "include in your download" box, referring to the Google toolbar, then click "download now". Follow the prompts, which will include a pop up bar near the top of the window to "install (something)" (sorry, I forget the exact wording- I think it's activex control). Follow any further prompts. That should take care of the flash player, which allows viewing of Youtube videos, among others.
Adobe reader is a program designed for viewing documents and pictures created in a file format called ".pdf". (portable document format). You need a separate program to open these. Adobe is one such program. It usually comes with Windows, so it's a bit unusual that you are prompted to download it.
I'd like to suggest a couple of alternatives, because, personally I find the Adobe reader a bit of a heavy program, slow and cumbersome to operate.
Nitro PDF reader is easier on the system, and straightforward to operate. The version in the link is free. Click the download button, and save the file to your desktop. (This is the installer file.) Double-click the file to install the program. Follow any prompts. (Program installs generally take one to three minutes, and sometimes a reboot is needed.)
To open the Avast GUI, right click the orange "a" ball at the bottom right of your computer, near the clock. (This area is called the system tray, and shows icons for running programs.) Select "about Avast" and left click that section. You should be presented with an interface that looks like the photo below. Please advise your program version, and the title above that. (I've highlighted that info in my photo in red, with a little arrow.)