Connecting to Exchange Online via Powershell | Office 365

Open Powershell as administrator
Run command – Set-ExecutionPolicy Remotesigned
Type Y for yes
Run command – $UserCredential = Get-Credential
Sign in with O365 administrator account (user@company.com)
Run command – $Session = New-PSSession -ConfigurationName Microsoft.Exchange -ConnectionUrl https://outlook.office365.com/powershell-liveid/ -Credential $UserCredential -Authentication Basic -AllowRedirection
Run command – Import-PSSession $Session
You are now connected to O365 Exchange Online