You can connect to Exchange Online with those two lines (you’ll be prompted for Credentials) :
$Session = New-PSSession -ConfigurationName Microsoft.Exchange -ConnectionUri https://ps.outlook.com/powershell/ -Credential (Get-Credential) -Authentication Basic –AllowRedirection Import-PSSession $Session
Once connected you’ll be able to use all Exchange Online cmdlet in your current shell with implicit remoting. The experience is very similar to an Exchange shell to an on premise Exchange server.
Note : Some cmdlets differ. When in doubt, use Get-Help or TechNet.