Connecting to Exchange Online using Powershell with Multi Factor Authentication 

1. Open Internet Explorer or old Microsoft Edge (will not work with new Edge browser) and login to https://portal.office.com/
2. Click Admin in the app launcher.
3. Go to Admin center in the left side menu and click Exchange.
4. Click Hybrid and click Configure button below Exchange Online Powershell module. 
   
   
5. After clicking Configure button the application will launch.
   
6. The Application install window will open, then click Install.
   
7. Now Exchange online powershell module with MFA is installed in your machine. 
   
8. Run the command Connect-EXOPSSession -UserPrincipalName
   

And you are done.