A few steps to enable management of your Office 365 subscription using Powershell. One uses Powershell because not all configuration is available through the Office 365 Portal, and it's also useful for automation.
UPDATE (2016-04-20): updated links and information.
After the installation, you will have an icon (desktop or start menu) called: Windows Azure Active Directory Module for Windows PowerShell.
To actually make a connection, start the Windows Azure AD Powershell:
$cred = Get-Credential Connect-MsolService -Credential $cred
This will allow you to manage all things Office365 related, but not Exchange Online.
The information below is deprecated!
Managing Exchange Online works a little differently. This is because you have to connect directly to the Exchange server, which is not the same as Office 365.
The cmdlets for Exchange Online are imported through the internet, so first, you need to change the Powershell execution policy to allow remotely signed modules to be loaded. In an elevated Powershell, run this:
This prevents errors about not being digitally signed during import. If the above command is not accepted, you probably don't have admin privileges. Either use an elevated Powershell or ask your network administrator to enable it for you.
To make the actual connection, run these in a regular Powershell:
$cred = Get-Credential $office365 = New-PSSession -ConfigurationName Microsoft.Exchange -ConnectionUri https://ps.outlook.com/powershell/ -Credential $cred -Authentication Basic –AllowRedirection Import-PSSession $office365
This will start to import several modules, adding the required cmdlets to your session. When completed without errors, the Exchange management cmdlets will be available. These are roughly the same as on a on-premise Exchange server.
For future use, you could create a function out of the set of commands and add it to your Powershell profile to easily connect to Exchange Online in the future. First, read this post about profiles, then copy/paste/import the contents of the attached file. This creates a function called Connect-ExchangeOnline, which does the connection and module import for you. Simply run the function without any parameters. It will ask your credentials and do the rest.
Additional and most recent information can also be found here: http://powershell.office.com/get-started