SharePoint Online moduleTo establish a connection to SharePoint Online services of Office 365 you need the SharePoint Online module you get from Microsoft. Depends on which version you are using of PowerShell you have two possibilities to install this module.
PowerShell (all versions)You have to install the SharePoint Online Management Shell. The SharePoint Online Management Shell is a tool which includes the module for Windows PowerShell to organize the SharePoint Online abo Office 365 (Connect-SPOService).
You can download the tool here: http://go.microsoft.com/fwlink/p/?LinkId=255251
PowerShell (version 5)If you are using PowerShell 5.0 or newer, you can install the SharePoint Management Shell from the PowerShell Gallery by using the following command:
Install-Module -Name Microsoft.Online.SharePoint.PowerShell