The White Sands dunes are actually made of water soluble "sand", actually its gypsum. This material is washed down from the mountains and collects in the Tularosa Basin. There it eventually dries and forms selenite crystals that, over time, break down and get pulverized to form the sand. Strong winds blow the sand into large dunes.
Climbing some of these from the leeward side with full camera gear can be a real challenge due to the sand being so soft. Scorching summer temperatures make it even more interesting.