In order to be able to manage your Office 365 environment effectively your Windows 10 desktop PC is going to need to be configured with all the necessary tools.  I will go through all the tools necessary to effectively carry out all administration tasks for your tenant.

Microsoft Online Services Sign-In Assistant for IT Professionals

This can be downloaded from here.  Choose the x64 version of the installer and run the msi file.

Azure Active Directory v1.0 PowerShell module

Open PowerShell or PowerShell ISE as an administrator and run the following commands:

Set-ExecutionPolicy -ExecutionPolicy Unrestricted 

Register-PSRepository -Default  

Get-PSRepository 

Install-Module MSOnline

Click Yes to All when prompted

You may get a prompt saying Nuget provider is required to continue, click Yes

When you run Get-PSRepository it should now return the below

Click Yes to All

This should then just install the module

Azure Active Directory PowerShell v2.0 PowerShell module

Run the command

Install-Module -Name AzureAD

Click Yes to All

This will then install the module

Exchange Online Remote PowerShell Module

You have to use either IE or Edge and then open your Office portal https://portal.office.com/

Go to your Exchange Admin center and click Hybrid>configure (as below)

You should next see the installation windows so click Install

Windows Azure PowerShell module

Download the installer from here.  When downloaded run the file, you may be prompted to update the Web Platform installer as below.  Click I Accept.

Click Install when ready

The install should begin, click finish when complete.

Azure Resource Manager PowerShell Module

Open PowerShell or PowerShell ISE as an administrator and run the following commands:

Install-Module AzureRM -allowclobber

Press Yes to All and allow the install to complete.

SharePoint Online module

This one is optional really but if you are planning on using Sharepoint online it makes sense to install it.  Download the installer from here.  Choose the x64 installer then run the installer and follow the prompts.

Skype for Business Online module

This is pretty much the same as the Sharepoint install, just download the installer and follow the prompts from the wizard to install.

Azure Rights Management Administration Tool

Open PowerShell or PowerShell ISE as an administrator and run the following commands:

Install-Module -Name AADRM

Press Yes to All when prompted and let the module install