If you are using multi-factor authentication, it is not possible to use the old method of connecting to Exchange Online. You will have to install the Exchange Online PowerShell Module, and use the Connect-ExchangeOnline cmdlet to connect.
With the deprecation of Internet Explorer, the old method below no longer works. Use the method described here to install: Installing Exchange Online Management Powershell cmdlets
When using the old method to install, a shortcut will be placed on your desktop which will start PowerShell with the required modules.
Connect-ExchangeOnline -UserPrincipalName firstname.lastname@example.org