Set up the SharePoint Online Management Shell environment

Download and install the following:

1. Install Windows PowerShell 3.0 from Windows Management Framework 3.0.
2. Install the SharePoint Online Management Shell from the Microsoft Download Center.
3. Open the shell
4. Run Connect-SPOService.

For example:

Connect-SPOService -Url https://letsExchange-admin.sharepoint.com -credential admin@letsexchange.in

• Url is the URL of the SharePoint Online Administration Center.
• Credential is the user name of global admin .

Try it out! For example, run Get-SPOSite to get a list of all sites

Source : https://technet.microsoft.com/en-us/library/fp161372.aspx