Download the module: http://go.microsoft.com/fwlink/p/?linkid=236293
Run the below commands to connect to Microsoft Online Services Module.
$cred = Get-Credential
$session = New-PSSession -ConfigurationName Microsoft.Exchange -ConnectionURI https://ps.outlook.com/powershell/ -Credential $cred -Authentication Basic -AllowRedirection
Import-PSSession $session
Connect-MsolService -Credential $cred