to sort someone out is to help them resolve some confusion or misunderstanding; to help them see the way forward more clearly; to get them out of a state of confusion or distress to see more clearly etc.

Thanks for your responses !

Ah, good. So it's the positive meaning as Hilary describes below. It can also refer to providing physical things, eg. lending some money.

The sentences is "thanks for sorting me out"

Do you have a full sentence? This fragment can have a couple of different meanings.