Try like below. But this code put 1. even if there is a single record
DECLARE @TABLE TABLE (SlNo TINYINT, EmpNo INT, ErrorMessage VARCHAR(500))
INSERT INTO @TABLE VALUES (1, 512542, 'INVALID EMP NO (EMP NO DOES NOT BELONGS TO SELECTED CLIENT)')
,(2, 385539, 'PAYELEMENT ALREADY EXIST FOR THE Employee')
,(3, 385539, 'RECORD ALREADY EXIST FOR THE SELECTED CLIENT, EMPLOYEE_ID, TRANSCATION_MONTH AND TRANSCATION_YEAR')
SELECT * FROM @Table
SELECT EmpNo
, (SELECT CAST(Row_NUMBER () OVER ( ORDER BY SlNo ) AS VARCHAR) + '. ' + te.ErrorMessage + ' '
FROM @Table te
WHERE te.EmpNo = t.EmpNo
FOR XML PATH(''))
FROM @Table t
GROUP BY EmpNo