Thank you both. For the avoidance of doubt I am using Avast Internet Security (the max. package) version 6.0.1289.
I have been through the links that Pondus supplied but did not find the answer.
I am used to using Sandboxie which was quite user friendly in accessing the sandbox contents and selectively restoring them to the main system. You could even run multiple sandboxes although that seemed a bit of overkill. Never found the need for that myself.
Anyway, to get back on topic, if I open a web browser (IE9 as it happens) in a sandbox and download a file therein, I see that it saves the downloaded file outside the sandbox, presumably due to a config setting that I have selected, in the "additionional protection", "Sandbox", "Web browsers" section of the GUI ("automatically detect default locations etc etc" checked).
The problem appears to be with programs other than the web browser, launched within the sandbox, and which save certain data files to disk. These are NOT appearing outside in the selected folder locations once I exit the programs, which leads me to conclude that there is a mirror of the folder location within the sandbox that contains the offending files, which I should then be able to "recover" to the main area manually (at least, that is the way that sandboxie works).
I could give examples of the applications, but you probably would never have heard of them and in any case the particular app is irrelevant to the generic question in the OP.
Thanks