Jon Morisi has notes on downloading and preparing the Hortonworks sandbox VM via VirtualBox:
Lessons learned:
Use wget for downloads that repeatedly drop the connection.
Don’t try to run VirtualBox inside a VM.
Enable VTx in the BIOS to run VirtualBox.
This post is mostly about troubles in getting the VM and preparing the software. Definitely take his advice on enabling VTx in your BIOS.