Conection to active directory

My company is using office 365 with exchange. i need to get data (number of emails) for all users that have an active exchange account, and from my understanging the way to do it is to  connect to exchange online and get the date one by one or connect to active directory. 

i have no problem connecting to exhange but every time i try to connect to active directory i get ”domain not found” error. 

Any help?