SharePoint Online Management Shell is the PowerShell module that Microsoft provides which gives you access to high-level administrative functions. If you're accustomed to working in SharePoint on-premises, this is basically the subset of the function from central administration that is permitted in Office 365.
This module allows you to perform those administrative tasks that are above the level of a site collection administrator, such as creating a new site collection. Anything at a lower level will require another approach.
But before you can add a site collection or change the sharing permission, you'll need to connect. Here's how to accomplish that:
Import-Module Microsoft.Online.SharePoint.PowerShell ...
