Install exchange online management
Install-Module -Name ExchangeOnlineManagement
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Import-Module ExchangeOnlineManagement
Set-ExecutionPolicy RemoteSigned
$UserCredential = Get-Credential
$Session = New-PSSession -ConfigurationName Microsoft.Exchange -ConnectionUri https://outlook.office365.com/powershell-liveid/ -Credential $UserCredential -Authentication Basic -AllowRedirection
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Import-PSSession $Session -DisableNameChecking
More Details: https://docs.microsoft.com/en-us/powershell/exchange/connect-to-exchange-online-protection-powershell?view=exchange-ps