Hi Nataleen, and welcome!
I don't know where you are staying, but playgrounds with shade are fairly rare here. There is one on Av 35 and Calle 22 (go west/up Constituyentes past Mega and turn right at 35, it's just a couple of blocks along).
Have fun and I'm sure more knowledgeable folks will chime in with great suggestions. Btw, you can very cheaply buy sand buckets and shovels here at many stores (Mega, Walmart, souvenir shops on Av 5).