Nicole - so, by the sounds of it, you're down to one of two possible issues.

1. Sand needs to flush out the fine dust created through shipping, one way to do that is to vac to waste, possible way to save water is to make jet circulate water in a circle, at which point, most deposits should happen in center, so just vac THAT area to waste.
Another way to do that (or at least get it out faster) is to add DE to filter through skimmer until pressure rises 1 lb (1-2 cups), wait 5-10 minutes and vacuum SLOWLY, once vacuuming is done, backwash immediately.

2. You have a broken lateral or stand pipe and the sand is washing through that.
Only way to find out is empty filter and inspect - repair or replace as necessary.