These are the steps for downloading SharePoint Online Management Shell
- open the following link : https://www.microsoft.com/en-us/download/details.aspx?id=35588 and fallow these steps:
- Click on download the file
- Select your environment (86 or 64)
If you have an old version of the Online Management Shell you will have to first uninstall it using control panel.
right click and uninstall
After uninstalling, go back do your download folder and try to initiate the installation file you downloaded in step 5
Check the Terms and license agreements.