Set up SharePoint Online Management Shell

Steps to setup "SharePoint Online Management Shell"

1. Install anyone from the below files based on your OS setup (32-bit or 64-bit)
a) Windows6.0-KB2506146-x64.msu
b) Windows6.0-KB2506146-x86.msu
c) Windows6.1-KB2506143-x64.msu (Worked in my case)
d) Windows6.1-KB2506143-x86.msu

2. Install 'SharePoint Online Management Shell' based on your OS (32-bit or 64-bit)
a) sharepointonlinemanagementshell_6008-1200_x64_en-us.msi (Worked in my case)
b) sharepointonlinemanagementshell_6008-1200_x86_en-us.msi

3. Install SharePoint Online Client Components SDK based on your OS (32-bit or 64-bit)
https://www.microsoft.com/en-us/download/confirmation.aspx?id=35585
a) sharepointclientcomponents_16-4002-1211_x64-en-us.msi (Worked in my case)
b) sharepointclientcomponents_16-4002-1211_x86-en-us.msi

4. Go to Start >> All Programs >> SharePoint Online Management Shell >> Right click and select ‘Run as administrator’.

5. Connect to Office 365 Admin site first using the below script. It should be run before running any script.
Connect-SPOService -Url <Admin site URL> -credential <Office 365 email address>
The email address should have access to Office 365 Admin Center for running PowerShell Online Script.
<Admin Site URL> say https://testlsharepoint-admin.sharepoint.com
<Office 365 email address> say kunnu@TestlSharePoint.onmicrosoft.com