Exchange Online Powershell module installation error – Application cannot be started. Contact the application vendor

This morning when trying to install the PowerShell Module for Exchange Online from the ECP,

Install Exchange Online PowerShell

I came accross this error message

Exchange Online - Cannot Start Application

Even though this is not a very serious issue, it may cause you lose your time. So to avoid this error message, use Internet Explorer to connect to the ECP and the installation will be possible.

Thank you.