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