No, it's OK to have Sandboxie installed on your D: drive.
If you want to use the Sandboxie start.exe program, just make sure to have the full path to that program in the batch file.
Just in case you don't know, in the Sandboxie Control window there's a button to create shortcuts:
Configure > Windows Shell Integration > "Add Shortcut Icons"
XP Pro SP3 (Admin), Zone Alarm Pro Firewall, Malwarebytes Pro, Firefox 33, Thunderbird 31.
Sandboxie user since March 2007.