In order to use a command from a powershell module that isn’t installed on a system, you need to install it:
Install-Module -Name Microsoft.Online.SharePoint.PowerShell
If running as an admin, this should work. If not
Install-Module -Name Microsoft.Online.SharePoint.PowerShell -Scope CurrentUser
should do the trick.
Once you do that, should be able to run the command.
Most modules install in a place to where the commands will automatically be discoverable and thus, importing the module is not necessary. However, if you do need to Import it, it’s
Import-Module Microsoft.Online.SharePoint.PowerShell
As Olaf mentioned though, this stuff is all on the docs and will show up with some google searches.