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.