Go here to download the Management Shell:
https://www.microsoft.com/en-us/download/details.aspx?id=35588

Once installed click start and type SharePoint management shell to find and open the shortcut

Type: Connect-SPOService

When it asks for URL type the admin url of your sharepoint site for example:

https://contoso-admin.sharepoint.com

For my office365 instance simply add -admin to your domain name before sharepoint.com

Reference: https://docs.microsoft.com/en-us/powershell/module/sharepoint-online/connect-sposervice?view=sharepoint-ps