I've written a very simple PowerShell Script to connect to the following Microsoft Online Services from one Powershell Window:
Office365 Admin Center
Exchange Online
Sharepoint Online
Skype for Business
Security and Compliance Center
You can find the Script here:
https://davidatkin.com/blog/powershell-script-connect-microsoft-online-services-office365/
I know there are alot of these scripts out there but thought I would Share it anyway.