Install Exchange Online (EXO) v3 PowerShell module
# Set execution policy
Set-ExecutionPolicy RemoteSigned
# Install Exchange Online powershell
Install-Module -Name ExchangeOnlineManagement
# Update Exchange Online powershell
Update-Module -Name ExchangeOnlineManagement
# Connect to Exchange Online
Connect-ExchangeOnline -UserPrincipalName admin@yourdomain.com
# Disconnect from Exchange Online
Disconnect-ExchangeOnline
You may need to close and re-open the PowerShell window after installing the module for it to work
Reference:
https://learn.microsoft.com/en-us/powershell/exchange/exchange-online-powershell-v2