Hmn. Sandboxing in your first DM attempt, especially in person... I would personally discourage it, especially since you say you quickly put together a world. To run a sandbox well, you have to have a firm grasp on the setting and the world, and provide enough opportunities for the players to not get bored, while keeping every opportunity interesting and fun. This is better done when you have a full-fledged setting, either yours or another's, but a full-fledged setting nonetheless, and you have full knowledge of its workings. The simple fact that a player made questions - about the setting, I presume - that you didn't know how to answer tells that you aren't ready to sandbox, at least not in that particular setting.
Secondly, I confess that I haven't played many expressive face-to-face games, but I'd guess that running a sandbox in real time is harder than through PbP. In a sandbox, you have to react to wild and strange choices from the players all the time, meaning that you need to be very good at improvisation - and again, have a good grasp of the setting. To run a good sandbox, knowledge of the setting is essential.
Now that the critics have been made, I think it is still possible, if you really, really want to do it. However, you'll have to think ahead and define what you want these eventual sandboxes to be; for example, you have to know in what city/village/town/whatever the players will be when you trigger the sandbox. Knowing this, you have to fully flesh out that location until you know it very well; you may not know the setting as a whole, but if you have a perfect grasp of the location the players will be spending in their sandbox time, you will still be able to react easily to any choices and provide enough hooks and options to entertain them.
Lastly, a concern about sandbox is the type of player you have. You say they are new to role-playing, but that isn't the problem; some players simply do not play well in sandbox. It is a matter of being reactive or proactive; proactive players go ahead and make their own choices, earn their own keep, while reactive players are more comfortable feeding off the GM and other players, just reacting to their choices and the path they show them. Obviously, if your players are of the reactive type, it is a bad choice to make them go through a sandbox, unless you shower them with hooks and choices - though it would still be less fun to them, I guess.
All in all, that's my two cents. Sandbox can be a very interesting experience (though I never did it in face-to-face), but it requires the right players, and a lot of planning and knowing by the part of the GM. If you decide to continue with it, good luck! (: