On your Windows device open a PowerShell prompt. To be able to connect we first need to make sure that the PowerShell module has been installed. Run the following command and confirm all questions with yes
Install-Module -Name AzureAD
Now we are ready to connect to Azure AD. Because of the different Office 365 clouds, it might be required to add the option -AzureEnvironmentName. Please review your environment below, by default you are hosted in Worldwide.