O365 Powershell modul for MFA not able to install

Hi,

our O365 tenant uses MFA for Admin users. As descibed in https://docs.microsoft.com/en-us/powershell/exchange/exchange-online/connect-to-exchange-online-powershell/mfa-connect-to-exchange-online-powershell?view=exchange-ps I downloaded it. The file looks like this "Microsoft.Online.CSE.PSModule.Client.application" When trying to install it, I get an error message as shown in the screenshot. Message is in german. It says, that the app cannot be startet. Contact your system administrator.

Any ideas?