Remote Powershell can be used to run commands on Exchange Online.  This can be particularly useful if a feature is not available using the exchange GUI.

Step 1

Open Windows Powershell as an Administrator.

Step 2

If this is the first time run the following command:

Install-Module -Name ExchangeOnlineManagement -RequiredVersion 2.0.3

When prompted select A (Yes to All)

Step 3

Run the following command:

Import-Module ExchangeOnlineManagement

Step 4

Run the following command:

Connect-ExchangeOnline -UserPrincipalName xxxxxx@xxxxxx.onmicrosoft.com -ShowProgress $true

Where xxxxxx@xxxxxx.onmicrosoft.com is the Global Administrator

A dialogue box should pop up at this stage.  Enter in your administrator username and password for exchange online.  Continue to authenticate with MFA