Here’s something important to know about Magento installation: you should decide in advance whether you want your initial installation to include demo product files, or leave it lean and clean with an empty store.
I only discovered too late, that in order to have my sandbox store contain the preset demo product package, I should have taken care of it during the installation. This is because the demo data records should already be inserted in the database, after it is set up, but before the actual installation begins. It is not mentioned on the Magento Wiki’s official installation guide, so for that reason, you would probably prefer to work according to this guide: Magento Installation Cheat Sheet (also from the Magento Wiki).
On the other hand, if you’re done with playing around in the sand box and your installation should eventually be set as a real store and not just demo store for a testing site, you may prefer having a clean installation. In this case, you are better off making some adjustments to the store pre-installed configuration in order to avoid embarassing moments in front of your potential customers. Here’s a great place to go for directions: