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.