To check version of currently installed module:

PS C:\>Get-Module AzureRM -list | Select-Object Name,Version,Path

To install module:

PS C:\>Install-Module AzureRM

If you need to first uninstall existing older version:

PS C:\>Uninstall-Module AzureRM

To login to Azure:

PS C:\>Login-AzureRmAccount

Once you are logged in is always a good idea to check what subscription you are defaulted to. This is important in case you have multiple subscriptions. You would not want to accidentally run certain command on a PROD subscription for example.

PS C:\>Get-AzureRmSubscription

You can switch to different subscription with:

PS C:\>Select-AzureRmSubscription -SubscriptionName 'MSDN Platforms'

For more details see this link.