Hi Alok,
For this exercise, they expect you to use Azure Portal, VS Code, and Azure PowerShell or CLI on your local machine. It is normal that for there not to be a Cloud Shell window on right half of screen. Once sandbox has been successfully activated, you can use your browser, VS Code, and PowerShell/CLI to interact with the sandbox subscription.
Please take a look at the Prerequisites in the Introduction unit:
When working with the sandbox subscription, please make sure you use correct subscription when performing tasks if you have access to other Azure subscriptions. For example, when working in Azure portal use the gear icon in upper right corner and make sure sandbox directory is selected. If you don't have access to any Azure subscriptions (besides the sandbox) then disregard.
Please click Accept Answer and upvote if the above was helpful. If something is unclear add a comment below.
Thanks.
-TP