If you can not install the Exchange Online PowerShell Update which enables MFA (which can be found here: https://outlook.office.com/ecp -> Hybrid -> Second Button) due to Windows not letting you install it then edit this area of the registry:
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\.NETFramework\Security\TrustManager\PromptingLevel
Set Internet to Enabled (and if that isnt enough set them all to Enabled)
Once installed set back to Disabled