This is for multifactor authentication.
1. Open Powershell as Admin.
2. Install module:
Install-Module MSOnline
3. Connect and check if it is successful
Connect-MsolService
Get-MsolUser
You should get a list of users and their emails.
4. Install the correct module. Usually this is
Install-module AzureAD
However preview is requried for example this setup.
Install-module AzureADPreview
5. Connect to Azure:
Connect-AzureAD
This should open a window to login.