Movie about The Sandman

Not yet.

Wikipedia is your friend for this. To quote some choice segments:

Throughout the late 1990s, a movie adaptation of the comic was periodically planned by Warner Bros., parent company of DC Comics... The project carried on through several more writers and scripts. A later draft by William Farmer, reviewed at Ain't It Cool News, was met with scorn from fans. Gaiman [the creator] called the last screenplay that Warner Bros. would send him "not only the worst Sandman script I've ever seen, but quite easily the worst script I've ever read. By 2001, the project had become stranded in development hell."

Development hell refers to ideas or concepts that either spend an extraordinary length of time waiting for production to begin, or projects in work never begins. They aren't actually cancelled, but there is just little to no work being done on them.

This was the fate of Sandman up until 2007, when Gaiman stated:

I'd rather see no Sandman movie made than a bad Sandman movie. But I feel like the time for a Sandman movie is coming soon. We need someone who has the same obsession with the source material as Peter Jackson had with Lord of the Rings or Sam Raimi had with Spider-Man.

Finally, in 2013, it was announced that a film was on the way. In mid October of 2014, Gaiman then clarified that the film would be distributed by Vertigo.

So ultimately, no there is no Sandman movie, but in theory it should be on its way. In theory.