SSO integration with Office 365 - PowerShell command not recognized

I tried setting up SSO integration with Office 365 using the instructions on the page that appears after I go to add Office365 as an integration method (

It directed me to open PowerShell in Azure Cloud and perform the following commands.

Step 1 was $cred = Get-Credential
Step 2 was Connect-MsolService –Credential $cred

I did not get to Step 3 because Step 2 failed with the following error:

PS /home/ryan> Connect-MsolService –Credential $cred
Connect-MsolService: The term ‘Connect-MsolService’ 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.