Sand is a size of material. Most sand is a millimetre or two across - it is the material you find on beaches.
If sand dries out, it can be caught by a strong wind and blown some metres off the ground, giving a sandstorm. This may happen in a desert. But sand on a beach rarely has time to dry out. Instead, you can make sandcastles with it. That is because it is just the right size to trap small amounts of water. The water clings on to the sand grains, holding them together. As you probably know, you can make a sandcastle out of wet beach sand, but if you tried it with dry sand from sand dunes at the back of the beach, it would never stand up. It's all the same sand, the way it behaves is due to how damp it is.
Animals make burrows in sand. But that is usually either damp sand, or sand that is held in place by the roots of plants.