How do install AzureAD PowerShell module
Import-Module loads a PowerShell module which you have already installed on your system. It looks like in your case, the module hasn't been installed yet.
To install Azure AD PowerShell, you need to use Install-Module:
Install-Module -Name "AzureAD"If you would like to install the module to the current user (i.e. without administrator privileges), you can do this:
Install-Module -Name "AzureAD" -Scope CurrentUserThe documentation for the Azure AD PowerShell module (and how to install it) is at: https://docs.microsoft.com/powershell/azure/active-directory/install-adv2?view=azureadps-2.0#installing-the-azure-ad-module