With MFA:

Trust source first: Set-PSRepository -Name PSGallery -InstallationPolicy Trusted

MSOL: Install-Module -Name MSOnline
AzureAD: Install-Module -Name AzureAD
Exchange: Install-Module -Name ExchangeOnlineManagement
SharePoint: Install-Module -Name Microsoft.Online.SharePoint.PowerShell
PNP SharePoint: Install-Module SharePointPnPPowerShellOnline

or all 4: Install-Module -Name MSOnline,AzureAD,Microsoft.Online.SharePoint.PowerShell,SharePointPnPPowerShellOnline,ExchangeOnlineManagement