Step:1
Download SharePoint Online Management Shell at: https://www.microsoft.com/en-in/download/details.aspx?id=35588
Step:2
Sometimes it will not take our commands if that is the case Import the module.
Import-Module Microsoft.Online.SharePoint.PowerShell
Step:3
After the loading the module. Type
Connect-SPOService -Url https://thebharath-admin.sharepoint.com
Here very important point is My actual url is: https://thebharath.sharepoint.com
Since I am admin to connect to sharepoint online I appended -admin to actual site name and it becomes https://thebharath-admin.sharepoint.com.
Wrong
Connect-SPOService -Url https://thebharath.sharepoint.com
so now the correct command is as told earlier above one:
Right
Connect-SPOService -Url https://thebharath-admin.sharepoint.com
So once after tying the step-3 code in powershelgl. It asks for your credentials. Give them correctly. It will accepts.