first you need to refer sharepoint client dlls
Add-Type -Path "\Microsoft.SharePoint.Client.dll" Add-Type -Path "\Microsoft.SharePoint.Client.Runtime.dll"
#next pass the credentials and connect to web
$siteURL = ""
$userName = ""
$PlainPassword = ""
$password = $PlainPassword | ConvertTo-SecureString -AsPlainText -Force
set SharePoint Online credentials
$SPOCredentials = New-Object Microsoft.SharePoint.Client.SharePointOnlineCredentials($userName, $password)
#Creating client context object
$clientContext = New-Object Microsoft.SharePoint.Client.ClientContext($siteURL)
$clientContext.credentials = $SPOCredentials
$web=$clientContext.Web
$clientContext.load($web)
$clientContext.executeQuery()