Using PowerShell to manage your Microsoft cloud services like Exchange Online is awesome. Using multi-factor authentication (MFA) is also awesome. For some reason, using the two together is not awesome. Many of the Microsoft docs on this seem to suggest you just perform all your administrative tasks from a shell that you launch entirely separately from a normal PowerShell console. I would rather be able to connect to Exchange Online using MFA via PowerShell through a normal console, or as part of another tool. Let me show you how.