I like to run exchange management shell from Powershell ISE.
This way lets me create scripts easily while putting the comments on some commands. I find this way more easier than just running the
commands directly in the shell.
This script, may need to edit for the server name but will help anyone connect to powershell session to their exchange server. This script assumes you are
able to reach the server from the computer you run it on. Kerberos protocol would help authenticate if you are logged in with the user that has required
access to the exchange server management shell. I have tested it on exchange 2016 as i work on it mostly.
import-module can be used to import other modules as well if required to powershell.