When I run IE sandboxed and then close and try and delete files after trying to stop all processes in the sandbox, I cant. This is because each time IE starts so does NSMdtr.exe (one for each time I run IE) I cant stop or delete this process hence I cant delete the files in the Sandbox because there is still a process running. Can anyone help?

Try adding this line to the sandboxie.ini file:

LingerProcess=NSMdtr.exe