I am trying to import the SQL database from my Drupal production site into a sandbox testing site on my local machine. I currently use XAMPP on my machine here at work.
You need to create and/or select the database on your sandbox machine before importing the SQL for the table structure and data.
In phpMyAdmin, this means choosing a database from the sidebar and then using its import tab. If the database you want to fill doesn't exist, you have to create it first using the Create new database
form.
After import, you should confirm that the export-import process hasn't affected the anonymous user record (uid 0).