I've created a Wiki page about blind test. I did it from the sandbox : http://doc.hydrogenaudio.org/wikis/hydrogenaudio/BlindTest

I then linked it from the glossary page, but now when I go to the page, on top of it, it says

"Wiki Directory » Blind test "

While on top of the text, it is written

"FrontPage » SandBox » "

Does it mean that it belongs to the sandbox ? It is annoying because it might be deleted when the sandbox is flushed. How do I move it ?

If it is not the case, why do "sandbox" appear on top of it ?

It is not under the sandbox in that sense. It is just the wiki that works with some kind of hierarchy.
You can see the hierarchy at the map page.
It is unfortunately a mess that I will clean up when I have finished exams (and Dibrom fixes a bug that makes my user group able to do it!).

What you do to "move" the page is use the re-parent option. At the buttom of a page there is a text box. There you write the name of the page you want to parent the page you are on.

Thank you.