PowerShell is a task automation and configuration management framework from Microsoft. It consists of a command line shell and specialized scripting language. This was initially a windows only component dependent on .NET framework. Later, with .NET Core framework going open-source and cross-platform allowed PowerShell to be made open and was named as Powershell Core.
It is a preferred automation scripting language for system administrators, because it is cross-platform as well as, it provides admins with full access to the system resources. PowerShell tasks can help you to manage both local and remote systems making it a perfect option for remote administrators too.
It offers easy access to different types of data stores through providers like file system registry etc., It also allows 3rd party developers to extend its scripts through cmdlets (command lets) and package that as modules. Modules can be packaged and hosted in PSGallery which allows other developer to install and import it in their scripts. This made it a great system administrative scripting language as more helper snippets are available for quick use.
If you are a system administrator and never have used PowerShell before, it is a high-time that you give it a test drive. You'll love it. For Azure developers, Azure PowerShell helps to automate resource deployments and managing resource a piece of cake.
So pick your favorite flavor to install PowerShell.