Connect to Office 365 PowerShell
Connect to Exchange Online PowerShell
Connect to Office 365 Compliance Center PowerShell
Connecting to Skype for Business Online by using Windows PowerShell
Set up the SharePoint Online Management Shell Windows PowerShell environment

Sorurce: https://support.office.com/en-gb/article/Managing-Office-365-and-Exchange-Online-with-Windows-PowerShell-06a743bb-ceb6-49a9-a61d-db4ffdf54fa6?ui=en-US&rs=en-GB&ad=GB