A 'soft box' is a piece of photographic equipment, similar to a
light box, in that it produces even, diffuse light - it is essentially an enclosure with a sheet of semi-transparent material (usually milky-white plastic) at one end and
a small hole at the other.
To use, simply insert a light through the small hole, and point the semi-transparent material at the subject (or the background, or just generally around). The end result is a diffuse glow not entirely unlike the results produced by neon lighting, but less depressing. A decent soft box can be improvised with greaseproof paper, coathangers, and some duct tape. Indeed, almost anything in the world can be improvised with greaseproof paper, coathangers and duct tape in sufficient quantity.
Note also that a 'soft box' would be an unfortunate piece of cricket equipment (see cricket box).