Hi SCA,
Click the Windows Azure Active Directory Module for Windows PowerShell shortcut to open a Windows PowerShell workspace that has the cmdlets. Alternatively, you can load the cmdlets manually by typing import-module MSOnline at the Windows PowerShell command prompt.
Before you can run any of the cmdlets discussed in this article, you must first connect to your online service. To do so, run the cmdlet connect-msolservice at the Windows PowerShell command prompt. You will then be prompted for your credentials. If you want, you can supply your credentials in advance, for example:
$msolcred = get-credential
connect-msolservice -credential $msolcred
For more information about the Windows Azure Active Directory Module for Windows PowerShell cmdlets, please refer to the following link:
http://technet.microsoft.com/en-us/library/jj151815.aspx#BKMK_connect
Set-MsolUserPrincipalName
Thanks,
Jason Jiang