Krdytkyu

We are using SDL Web 8 and DXA 1.6.
When we go to CME -> Sites (from left navigation) and select any site that is supposed to show the website with XPM (i.e with blue pen icon at top right corner), it is not showing in my case.

Can any one please let me know what configuration I need to do here?

As Nick says, there could be lots of reasons why the XPM icon is not showing.

If it were me, then I'd start by checking whether the Page Settings HTML comment and the XPM (a.k.a. SiteEdit) JavaScript tag appears in the source of the published page. For example:

<!-- Page Settings: {"PageID":"tcm:9-259-64","PageModified":"2016-08-04T14:43:31","PageTemplateID":"tcm:9-264-128","PageTemplateModified":"2016-10-18T12:37:03"} -->
<script src="http://[CMEURL]/WebUI/Editors/SiteEdit/Views/Bootstrap/Bootstrap.aspx?mode=js" id="tridion.siteedit">

If they are present, then you may want to check the details (IDs, URLs, etc.) and the console tab in Chrome Developer Tools for any conflicting errors.

If they are not present then you'll need to investigate further. You may want to start by looking at Bart's answer here: https://tridion.stackexchange.com/a/15100/71

Adding some more details of what you've already looked at to the ticket would also help too.

At the very basic surface, a Tridion system has 3 core nodes: CM, DXA Staging (Preview) web app, and DXA Live web app. XPM should be set up on the Staging web app, not the Live. So make sure you're hitting the Staging instance.

If the above doesn't solve your issue, as far as what configurations you need to make, there is more than a handful of them. So it's not a simple answer. You're going to have to get some technical training on this because there are a lot of concepts and moving parts that make it all happen. Start out by carefully studying the docs and trying things. Here is the chapter specific to XPM, but you'd need to already have a strong grasp of the other Tridion concepts and configs before diving into XPM configs: https://docs.sdl.com/LiveContent/content/en-US/SDL%20Web-v1/GUID-E7D54121-70A2-4FA6-A516-8ADB8E45AC13.