Exchange Online commands not recognised in Powershell

I am getting very confused about how to use PowerShell with Online Exchange.  I believe I have followed the instructions on;

http://technet.microsoft.com/library/jj984289

A session is successfully created however when I try any exchange related command it is not recognised.  I have read other articles on EE which refers to command snapin. I tried the command given but got error.

I have also seen mention of using the 'Exchange Management Shell' and not 'PowerShell'?   Microsoft Online Exchange Help gives no mention of an Exchange Management shell.
Can someone please clear up the confusion.
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ianmal2Asked:
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lciprianionutConnect With a Mentor Commented:
After the connection is created to O365 you should have a new module

ModuleType Name                                ExportedCommands
---------- ----                                ----------------
Script     tmp_klropcdm.bzs                    {Add-AvailabilityAddressSpace, Add-DistributionGroupMember, Add-MailboxFolderPermission, Add-MailboxPermission...}

PS C:\Windows\system32> gmo tmp_klropcdm.bzs | select -Property * -ExcludeProperty Definition | fl *
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ianmal2Author Commented:
Sorry about the delay. I missed the response on my email system.  I will check out lciprianionut answer.
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