Trying to Setup Salesforce DX IDE environment with Visual Studio Code I'm facing issue while using this command--> Retrieve by package.xml and Get All Files from org. Can you please help me out to integrate with VS code.
You don't. Yet. Visual Studio Code using Salesforce Extensions is supposed to work with Scratch Orgs (via SalesforceDX), not Sandboxes.
If you need to access and edit the metadata (classes, pages, components) in your sandbox you either use the console or another tool like Eclipse with the Force.com plugin.
Cheer up, Salesforce is planning to support the usage of the development tools in sandboxes as well, but in the future.