How can I get my taxes back while exiting Schengen?

First, the Schengen area is completely irrelevant in the context of tax-free (or rather, VAT-free) shopping. Schengen regulates passport control (immigration) and does not concern customs or VAT rules.

Members of the European Union, whether in Schengen or not, form a customs union and are bound by the EU VAT directives including those regarding tax refund for tourists. Answers to many questions can be found on the Guide provided by the European Union, however, additional national rules may also apply.

Each country may have specific requirements for the issuance of tax refund documents (e.g. minimum spending amount, expiration of a claim). You must not be a resident of an EU country if you wish to claim a refund. Your nationality does not matter, only the place of your residence.

Residents from non-EU Schengen countries (e.g. Switzerland) can obtain a VAT refund when they purchase goods from an EU country; residents from a non-Schengen EU country (e.g. Romania) cannot benefit from VAT refund when purchasing goods from the EU.

Normally, when you go to a shop that participates in a refund scheme (businesses do not have to offer facility for VAT refund) and ask for a tax refund, you will receive a tax refund document (usually via an intermediary, e.g. Global Blue) with your receipt. If the shop does not participate in a VAT refund scheme, you will not be able to obtain a refund (unless you use your own intermediary service, which may or may not be exist or practical for the country of your choice).

An export validation stamp must be obtained for the goods (must remain unused until exportation) from the customs office (in most cases, not the border guard stamping your passport). The stamped document is sent back to the intermediary company before they issue the refund to you (less significant processing fees and possible currency conversion charges). Sometimes they may give you a "refund" before validation (from their offices or even at the shop) but they will require a credit card as a guarantee. If you do not send back the stamped document in time, your credit card will be charged for the amount given to you.

Some countries may provide electronic validation (using a kiosk) and a successful electronic scan may waive the requirement to send back the document by post; follow the instructions for the intermediary company and for the port of your final departure from the European Union. Customs of any EU country can validate the exportation for tax refund document of other EU countries; but the procedures may differ, e.g. a French document can only be electronically validated by French customs machines, if you leave the EU from another country, a manual stamp must be obtained.

Does anybody have experience exactly what should I do?

It depends on the country of purchase and where you are leaving the European Union.

Consider I want to buy from media market, after payment and get receipt can I get back the money on the border and how and where should I exactly go?

You need to ask the merchant if they provide VAT refund facility and what is their procedure (e.g. you may need to go to a particular customer's service desk). If you choose to use your own intermediary (if available), you need to check with the intermediary and the merchant on what is needed.

In Poland, only shops that display special panels are eligible for VAT refund and they are required to provide information about the refund procedure. The same webpage has more information regarding the Polish procedures.

Also, I see that the same laptop if I buy online is much cheaper than the physical stores. So, is it because of the tax deducted already while online shopping?

Not necessarily. EU countries are all market economies and merchants can decide their pricing strategy for most parts. Some websites do have a switch that can show VAT-included price or not (for business customers). You need to check carefully on the website what taxes are included.

If I buy online there would be no tax return right?

Usually not, unless it is directly sent outside the European Union (then no EU VAT would be charged anyway). In some countries it may be possible to establish a tax refund document if you order online and pick up in store, or if you use your own intermediary service (if available). Call the merchant and ask.