This is for my own reference, Wish Microsoft have created a document for this.. (sigh!)
- Install the AzureRM module "Install-Module AzureRM"
- Set execution policy to remote signed or unrestricted, what is acceptable. End goal is you should be able to run scripts. Set-ExecutionPolicy Unrestricted
- Import the Module: Import-Module AzureRM
- Login to your account, Login-AzureRmAccount will give a popup for the Azure account, Login you are good to go.