Connect to Exchange Online using Powershell

1. Open Windows PowerShell.

2. Run the following command.

$UserCredential = Get-Credential

3. In the Windows PowerShell Credential Request dialog box, type the user name and password of an account in your Exchange Online organization, and then click OK.

Run the following command.

4. Run the following command.

$Session = New-PSSession -ConfigurationName Microsoft.Exchange -ConnectionUri https://ps.outlook.com/powershell/ -Credential $UserCredential -Authentication Basic -   AllowRedirection

5. Run the following command.

Import-PSSession $Session

Reference: http://technet.microsoft.com/en-us/library/jj984289(v=exchg.150).aspx