Install O365Essentials

Install O365Essentials from PowerShell Gallery:

Install-Module -Name O365Essentials -Scope CurrentUser -AllowClobber

Import the module and connect interactively:

Import-Module O365Essentials
Connect-O365Admin -Verbose

Use WAM when the tenant requires MFA or Windows needs to show the account picker:

$Credential = Get-Credential -UserName 'admin@contoso.com'
Connect-O365Admin -UseWam -Credential $Credential -Tenant '00000000-0000-0000-0000-000000000000' -ForceRefresh -Verbose

Prefer PowerShell 7 or newer so REST errors are easier to read.