Sampling distribution, a foundational concept in statistics, is difficult to understand, since we usually have only one realization of the estimator of interest. In this work, we present an innovative method for helping university students understand the variability of an estimator. In our approach, each student uses a different data set, getting diverse estimations. Then, sharing the results, we can empirically study the sampling distribution. After some "handmade" experiences, we have built a web page to deliver a personalized data set for each student. Through this web page, we can also reformulate the role of the student in the classroom, inviting him/her to became an active player, submitting the solution to different problems and checking whether they are correct. In this work we present a recent experience in such direction.