One of the challenges with MFA and PowerShell is that you need to basically go into the Exchange management console and download a special PowerShell module that supports MFA. The need for that MFA module when connecting to Exchange Online with PowerShell is largely being negated by using the Exchange Online PowerShell V2 module (yeah). However, if you want to connect to the Security and Compliance center online with PowerShell and MFA you are still going to need to install this special module MFA from the Exchange Admin center in the portal (damm).
To do this, you’ll need to navigate to the Exchange admin center as shown above and select Hybrid from the items on the left. you’ll then need to select the lower option that is then displayed on the right hand side, which allows you to download the special MFA PowerShell module.
That should commence an automated download for you. This automated download “should” work in both the older Internet Explorer and the new Edge (chromium based) browser.
That download process should look something like what is shown above. However, if for some reason you can’t get it working with the new Edge (chromium based) browser navigate to:
and Enable the ClickOnce Support option as shown above, if not already enabled. Most of the time it is set as Default, which you will need to change to allow the download to commence.
The browser will need to reload, but after that you should able to run the file in the Edge (chromium based) browser to get the Exchange Online MFA module installed on your local machine.