These steps are required once on your computer, not every time you connect. However, you'll likely need to install newer versions of the software periodically.

1. Open an elevated Windows PowerShell command prompt (run Windows PowerShell as an administrator).

2. In the Administrator: Windows PowerShell command window, run this command:

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Install-Module -Name AzureAD

If prompted about installing a module from an untrusted repository, type Y and press ENTER.

• Open an elevated Windows PowerShell command prompt (run Windows PowerShell as an administrator).
• Run the Install-Module MSOnline command.
• If prompted to install the NuGet provider, type Y and press ENTER.
• If prompted to install the module from PSGallery, type Y and press ENTER.

https://docs.microsoft.com/en-us/office365/enterprise/powershell/connect-to-office-365-powershell

https://docs.microsoft.com/en-us/office365/enterprise/powershell/connect-to-office-365-powershell