The Royal Military Academy Sandhurst, the college in southern England where officers for the British Army are trained. It is a proper name, and in normal use it stands for the whole institution rather than the village it sits in: 'he went to Sandhurst' means he trained as an army officer there, the way 'West Point' does in the United States. Every British Army officer passes through it, including members of the royal family — Prince William and Prince Harry both trained there — which is part of why the name is so widely known. Because of that, the word carries a tone: say someone is 'straight out of Sandhurst' and you suggest a young officer, very upright, very correct, possibly a little stiff. It also trains officers from many other countries' armies, so it turns up in news from all over the world. Grammatically, treat it like a place name — no 'the' before it, capital S.