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.