How To connect Exchange online through powershell if MFA is enabled

 You have to first download "Microsoft Exchange Online Power shell Module" from your exchange admin center portal (https://outlook.office.com/ecp/) 

then you have to open the "Microsoft Exchange Online Power shell Module" and you should get the window like below.

Then you have to use the command (Connect-EXOPSSession -UserPrincipalName AdminUser@domain.com) in Microsoft Exchange Online Power shell Module.

then it should pop up for the credentials and also for the second factor authentication.