PowerShell: The term Connect-AzureAD is not recognized as the name of a cmdlet

Error:

PS C:\Users> Connect-AzureAD
Connect-AzureAD : The term 'Connect-AzureAD' is not recognized as the name of a cmdlet,
function, script file, or operable program. Check the spelling of the name, or if a path was
included, verify that the path is correct and try again.
At line:1 char:1
+ Connect-AzureAD
+ ~~~~~~~~~~~~~~~
    + CategoryInfo          : ObjectNotFound: (Connect-AzureAD:String) [], CommandNotFoundExcep
   tion
    + FullyQualifiedErrorId : CommandNotFoundException

Screenshot:

Reason for the Error:

The reason for this error is that you do not have the AzureAD Module installed on your device, you will need to download and install it.

Fix:

Install-Module -Name AzureAD

Type why when prompted.

Untrusted repository

You are installing the modules from an untrusted repository. 
If you trust this repository, change its InstallationPolicy value 
by running the Set-PSRepository cmdlet. 

Are you sure you want to install the modules from 'PSGallery'? 
[Y] Yes  [A] Yes to All  [N] No  [L] No to All  [S] Suspend  [?] Help (default is "N"): Y

Next we import the module into our current session.

Import-Module AzureAD

You should now be good to use the Connect-AzureAD cmdlet.