• On the machine you are connecting from install the module.

https://www.microsoft.com/en-us/download/details.aspx?id=41950

• Open PowerShell run as administrator.
• Allow remote signing.

Set-ExecutionPolicy RemoteSigned**

• Set cached credentials. You need the global admin account credentials

$LiveCred = Get-Credential

• Setup parameters for the session.

$Session = New-PSSession -ConfigurationName Microsoft.Exchange -ConnectionUri https://outlook.office365.com/powershell-liveid/ -Credential $UserCredential -Authentication Basic -AllowRedirection

• Open a session.

Import-PSSession $Session

• Close a session.

Remove-PSSession $Session