Why is the desert all sand

Where does the sand come from? woulde4nt it just be regular sediment with no water???

There are deserts like Hamadas or Polar Deserts that are not just sand. The sand in deserts like Sahara comes from erosion of "pebble deserts" or it was brought from other regions by the wind. It takes hundreds if not thousands of years. In those areas the wind always transports small particles that grind the other stones etc.
If you take a look at this picture http://www.drechselconsulting.de/seite1/… you'll see that the rock is thinner near the bottom. That's because of the wind.

As most deserts don't happen to very sandy... More often the landscape is rock and stone. Bits of deserts are sandy because the wind blows the sand in, ie. eroded rock and stone, from other places. And, as the wind has a tendency to blow from and in a similar direction, the sand gets concentrated together.