Learn French: Ils sont dans le magasin sans nous. - They are in the store without us.

nous is playing double duty here! In French, when a pronoun comes after a preposition like sans (without), you must use a "stressed pronoun". For the first person plural, the stressed pronoun happens to be exactly the same as the subject pronoun: nous.

Is magasin the same thing as an English "magazine"?

No, this is a classic "false friend"! In French, le magasin means the store or shop. If you want to read a publication, you'd look for an entirely different word that happens to be spelled exactly like the English one: le magazine.

Could I say au magasin instead of dans le magasin?

Yes, but it changes the meaning slightly. dans le magasin emphasizes that they are physically inside the building. au magasin just means they are "at the store," but they could be waiting outside in the parking lot!

I always mix up sont and ont. How do I know which one to use here?

sont is the "they" form of the verb être (to be), so ils sont means "they are". ont is the "they" form of avoir (to have). In this sentence, "they are in the store" makes sense, whereas "they have in the store" does not.