Download and Install SharePoint Online Client Components SDK using PowerShell

We need SharePoint Online client components SDK installed on the client machine, to be able to connect and work with SharePoint Online objects programmatically. We can download and install CSOM assemblies for SharePoint Online from https://www.microsoft.com/en-us/download/details.aspx?id=42038,
This installs a couple of assemblies (DLL files!) at folder "C:\Program Files\Common Files\microsoft shared\Web Server Extensions\16\ISAPI"
Once installed, you can reference them in your PowerShell scripts as:

#Load SharePoint CSOM Assemblies
Add-Type -Path "C:\Program Files\Common Files\Microsoft Shared\Web Server Extensions\16\ISAPI\Microsoft.SharePoint.Client.dll"
Add-Type -Path "C:\Program Files\Common Files\Microsoft Shared\Web Server Extensions\16\ISAPI\Microsoft.SharePoint.Client.Runtime.dll"

#Get Credentials to connect
$Cred= Get-Credential
$SiteURL = "https://crescent.sharepoint.com"
 
#Setup the context
$Ctx = New-Object Microsoft.SharePoint.Client.ClientContext($SiteURL)
$Ctx.Credentials = New-Object Microsoft.SharePoint.Client.SharePointOnlineCredentials($Cred.Username, $Cred.Password)

#Get The Web
$Web =  $Ctx.Web
$Ctx.Load($Web)
$Ctx.ExecuteQuery()

#Get Web Title
Write-host $Ctx.Web.Title

Download and Install SharePoint Online Client Components SDK using PowerShell
How about downloading and installing CSOM assemblies using PowerShell?

#Parameters
$DownloadURL = "https://download.microsoft.com/download/B/3/D/B3DA6839-B852-41B3-A9DF-0AFA926242F2/sharepointclientcomponents_16-6906-1200_x64-en-us.msi"
$Assemblies= @(
        "C:\Program Files\Common Files\microsoft shared\Web Server Extensions\16\ISAPI\Microsoft.SharePoint.Client.dll",
        "C:\Program Files\Common Files\microsoft shared\Web Server Extensions\16\ISAPI\Microsoft.SharePoint.Client.Runtime.dll"
    )

#Check if all assemblies given in the list are found
$FileExist = $True
ForEach ($File in $Assemblies)
{
    #Check if CSOM Assemblies are Found
    If(!(Test-Path $File))
    {
        $FileExist = $False; Break;
    }
}

#Download and Install CSOM Assemblies
If(!$FileExist)
{
    #Download the SharePoint Online Client SDK
    Write-host "Downloading SharePoint Online Client SDK..." -f Yellow -NoNewline
    $InstallerPath = "$Env:TEMP\SharePointOnlineClientComponents16.msi"
    Invoke-WebRequest $DownloadURL -OutFile $InstallerPath
    Write-host "Done!" -f Green
    
    #Start Installation
    Write-host "Installing SharePoint Online Client SDK..." -f Yellow -NoNewline
    Start-Process MSIExec.exe -ArgumentList "/i $InstallerPath /qb" -Wait
    Write-host "Done!" -f Green
}
Else
{
    Write-host "SharePoint Online CSOM assemblies are already installed!" -f Yellow
}