Set up the SharePoint Online Management Shell environment

Download and install the following:

• Install Windows PowerShell 3.0 from Windows Management Framework 3.0.

• Install the SharePoint Online Management Shell from the Microsoft Download Center.

• Open the shell

• 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