If you are using multi-factor authentication, it is not possible to use the old method of connecting to Exchange Online. You will have to install the Exchange Online PowerShell Module, and use the Connect-ExchangeOnline cmdlet to connect.

Installation

With the deprecation of Internet Explorer, the old method below no longer works. Use the method described here to install: Installing Exchange Online Management Powershell cmdlets

Old instructions

1. Log on to Exchange admin center.
2. In the left menu, click on hybrid.
3. Click the configure button for the Exchange Online Remote PowerShell Module. This will start the installation.
4. In the Application Install that appears, click the Install button.

When using the old method to install, a shortcut will be placed on your desktop which will start PowerShell with the required modules.

Usage

1. Start PowerShell.
2. Use the cmdlet Connect-ExchangeOnline (or Connect-EXOPSSession) and your Office 365 account (your username, in UPN-format) to connect to Exchange Online:

   Connect-ExchangeOnline -UserPrincipalName username@mydomain.com

3. You will be prompted for your credentials. If MFA is enabled, the request to validate your login will appear as well.
4. After successfully logging on, you will be able to run PowerShell cmdlets like before.