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()