Hello Palaniappan,
SAML is a public standard for Web applications and SAP GUI for Windows is not such application.
You can implement this scenario by using the Secure Login Server (SAP Single Sign-On product – license required).
Please, find a blog on this topic: SAML 2.0 and SAP GUI Single Sign-On in one and the same scenario
Please, find also a blog how to configure SAML authentication for Secure Login Server, relevant for this scenario:Configuring SAML 2.0 Authentication for your Secure Login Server
Please, find also the documentation how to configure AS ABAP as SAML Service Provider:
Please, find also this wiki with some guides regarding SAML support:
http://wiki.scn.sap.com/wiki/display/Security/Single+Sign-On+with+SAML+2.0
Best Regards,
Donka Dimitrova