How to work on specific sites in SharePoint Online using PowerShell

I am relatively new to managing SharePoint Online using PowerShell and am wondering a few questions...

- When I connect, what is my current path? I say this because I want to manage multiple sites and not sure how to specify in a PowerShell script which site I want to work in.

- How can I add lists to a specific site? If I have "Site A", "Site B", and "Site C", once I connect, how do I have PowerShell create a list in let's say "Site B" and not "Site A"?

- If I don't specify a site when I add a list in SharePoint Online using PowerShell, How can I see that list? I ran the PowerShell command to create a new list just after connecting, but I cannot find the list anywhere.