Install Office 365 (Exchange) module on Powershell

Install PowerShellGet:

Install-Module PowerShellGet -Scope CurrentUser

Update PowerShellGet:

Update-Module PowerShellGet -Scope CurrentUser

Install Exchange Online PowerShell Module:

Install-Module ExchangeOnlineManagement

Import Exchange Online PowerShell Module:

Import-Module ExchangeOnlineManagement

Connect to Exchange Online:

Connect-ExchangeOnline