Set up your PowerShell Environment - directorcia/Office365 GitHub Wiki

Run PowerShell environment as an administrator on your local machine
Run the script o365-setup.ps1
Download and install the Powershell module for Skype for Business
Install the Exchange Online MFA Powershell module - Video
Run the command:

set-executionpolicy -executionpolicy bypass -scope currentuser -force

to allow custom scripts to execute in your environment. You only need to run this command once.
Run the script o365-connect-exov2.ps1 to verify connection to Exchange Online
Run the script o365-mx-check.ps1 to verify that script commands work on service