If you just export a site from Sandvox then open it with Safari, certain links will cause the Finder to open instead of the index.html page you want to see. To get around this, you can change a Sandvox default in the Terminal or, more easily, you can publish to your Sites folder. With Web Sharing turned on in System Preferences, you can navigate your localhost site as if it were published on the web.
I have published a step-by-step tutorial of how to do this here: