Powershell is a great tool and sometimes you need to connect to your prefered Exchange server without opening a remote desktop on the server. To connect remotely to any Exchange Management Shell you need the following:
To connect to the server using the logged-in user type,
$Session = New-PSSession -ConfigurationName Microsoft.Exchange -ConnectionUri http://my-exchange-server/PowerShell/ -Authentication Kerberos
and then type
Import-PSSession $Session
If you want to connect to the server using specified credentials, type the following,
$UserCredential = Get-Credential
$Session = New-PSSession -ConfigurationName Microsoft.Exchange -ConnectionUri http://my-exchange-server/PowerShell/ -Authentication Kerberos -Credential $UserCredential
Import-PSSession $Session
That should connect you to the desired server… enjoy