This is quite an old module command used to connect to Azure AD (Microsoft tenant) so you would need a work or school account authorised for that tenant. You can't connect using a personal account like @Microsoft Corporation .com or @harsh.com .com.
Try using the below command instead:
Connect-AzureAD
https://learn.microsoft.com/en-us/powershell/module/azuread/connect-azuread?view=azureadps-2.0