Can you give me an example of topological group which is not a Lie group.

Another example is the rationals under addition with the subspace topology induced from inclusion in $\mathbb R$. Since the rationals are countable, they can't be a manifold of dimension exceeding $0$, so the only possibility would be a $0$ manifold. However, the topology on the rationals is not discrete, so they do not form a $0$-manifold either.

The Cantor set is a topological group. It is homeomorphic to $\{0,1\}^{\omega}$ in the product topology, which is a topological vector space over $\mathbb{Z}_2$. As the set is totally disconnected and not discrete it is easy to see that it cannot be a manifold.

The $p$-adic numbers are a topological group, but not a Lie group.

There are many profinite groups which are not Lie groups, for example the profinite group completion of a knot group.