Installing MSOnline is pretty Simple.
Open PowerShell in Elevated Mode and run the command,
Set-ExecutionPolicy -ExecutionPolicy unrestricted Install-Modue -Name MSOnline 
By default, When you run the command
Connect-MsolService You will get connected to Global Tenant ( Public Cloud)
What if you have 21Vianet operated Office 365 Azure Active Directory using PowerShell. You can use the below command to connect AzureChinaCloud
Connect-MsolService -AzureEnvironment AzureChinaCloud Enter Username(UPN),
Once you have entered the password and the credentials are validated, you will get MSOnline Module loaded.
Once Connected to 21Vianet Azure AD, You can validate by running the command
Get-MsolDomain 
What is AzureEnvironment?
Microsoft Hosts Office 365 Cloud for Global(for Public), US Government, German and China. hence connecting the PowerShell also needs to be done for respective Azure Cloud.
If you want to connect other Azure Cloud Environments, Still you will be able to connect using Single MSOnline PowerShell Module using your respective Cloud Environment. Replace the AzureEnvironment based on your respective Azure Cloud to connect,
AzureChinaCloud
AzureGermanCloud
AzureGlobalCloud
AzureUSGovernment