I’m running Windows 8.1 and attempted to install the SharePoint Online Management Shell. The instructions say you need to install Windows Management Framework 3.0 but this fails when you try to install it.
Turns out you don’t need it if you’re running 8.1. The new WMF 4.0 also won’t install, so don’t try it. Instead what you should do is download the SharePoint Online Management Shell directly and then run it. I encountered an error when running the Management Shell the first time.
Running the Management Shell as Administrator fixes the problem. To verify, run the get-module cmdlet and you’ll see the new modules loaded.
I then executed the cmdlet Connect-SPOService and connected fine.