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I was just trying to Connect-MsolService which requires installation of some PowerShell module. There is a wide confusion even in google which of the modules or which of their versions should I download. It took me some time, so to clarify it for others, here it goes:

If you want to use the Connect-MsolService cmdlet to connect to Office365 (aka Microsoft online services - MSOL) and manage the Office 365 accounts and domains, you need the following two downloads:

• Microsoft Online Services Sign-in Assistant for IT Professionals RTW:
  • which is in fact the msoidcli_64.msi package
  • after installation it appears as Microsoft Online Services Sign-In Assistant in the Programs and Features control panel
  • and represents itself as a Windows service called msoidsvc aka Microsoft Online Services Sign-In Assistant
• Windows Azure Active Directory Module for Windows PowerShell version 1.0:
  • which is in fact the AdministrationConfig.msi package
  • also called Azure AD Module for PowerShell aka Office 365 Module for PowerShell aka Msol Module for PowerShell aka AAD Powershell aka Azure Active Directory Connection aka Azure AD Module for PowerShell
  • after installation it appears as Windows Azure Active Directory Module for Windows PowerShell in the Programs and Features control panel
  • this one has already some newer versions available (1.1.166.0 as the newest release version and 2.0 as a public preview). These are updated and mentioned in the following article Microsoft Azure Active Directory PowerShell Module Version Release History but do not bother

This is the only method currently available for direct download which can be used to manage Office365 and use the MSOL powershell command lets.

If you want to manage other Azure services, you will need to download Azure Powershell from github. This comes in various versions, such as 1.7.0 or 2.2.0 or 3.2.0. It does NOT need the Msol Services Sign-In Assistant and does NOT contain the Connect-MsolService cmdlet so that I assume it cannot manage Office 365 at all.