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