Your Office 365 tenant requires more than just the main website Microsoft provides for its admins. Being able to utilize PowerShell for management provides more depth and options for an administrator. Recently Microsoft changed the installation process and download of the PowerShell modules for Azure AD. It should not come as a surprise with the speed of updates and constant improvements that Microsoft is making to both their service and client connections that an update like this would be available.
Download Page / Documentation Page
Version 1.1.160 can be downloaded
HERE
Installation Process
The installation process is pretty simple. Run the EXE file for the installation. Click Next:

Accept the License Agreement:

Wait for the install to finish:

Then click finish:

Once the installation is complete, you can bring up Azure AD just like the previous installs of Windows Azure PowerShell.
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