The Azure AD module is installed using PowerShellGet, which is included with Windows Management Framework (WPF) 5.0 (PowerShell 5.0). Windows 10 and Windows Server 2012 R2 or later ship with PowerShell 5.0 installed by default, which means that PowerShellGet is already available. For earlier operating systems, you'll either need to upgrade to WMF 5.0, or install PowerShellGet for PowerShell 3.0 or 4.0.
PowerShellGet also requires .NET Framework 4.5 or above. You can install .NET Framework 4.5 or above from here
1.- Using an administrator account, connect to the Active Roles Server box.
2.- Install the "Microsoft Online Services Sign-In Assistant for IT Professionals". You can download it from here
3.- Install the "Azure Active Directory Module for Windows PowerShell":
3.1.- Open a Windows PowerShell console.
3.2.- Run the Install-Module cmdlet as shown below:
Install-Module -Name AzureAD
Note: The above cmdlet should download and install the Azure AD module.