Since the beginning of working with SharePoint Online with PowerShell you have had to download and install a stand alone MSI for access to the SharePoint Online cmdlets as I have detailed here:
Connecting PowerShell to SharePoint Online
Well no more! Yeah! Now you can install the module directly from PowerShell using the command:
Install-Module -Name Microsoft.Online.SharePoint.PowerShell
You should uninstall the old MSI version if you have it first.
Whee you run this command you should see the modules being installed like so:
and then you should be good to go.
This will make working with SharePoint Online via PowerShell so much easier!
The current version is 16.0.8212.0 and can be found here: