Connect to Exchange Online with Powershell

Step-by-step guide

1. Install MSOnline Sign-In Assistant for Windows Powershell http://go.microsoft.com/fwlink/?LinkID=286152
2. Install Azure Active Directory Module for Windows Powershell   http://go.microsoft.com/fwlink/p/?linkid=236297
3. Open Azure Active Directory Module for Windows Powershell   
4. Connect to MSOnline services:  
   $msolcred = get-credential
   connect-msolservice -credential $msolcred
5. Enjoy!