Azure Powershell - Change Directory

You need to specify the TenantID parameter when using Select-AzureRMSubscription:

Select-AzureRmSubscription -SubscripitionID <ID of sub> -TenantId <ID of Azure Tenant>

You can actually just specify the tennant to select the directory, without a subscription ID.

Select-AzureRmSubscription  -TenantId <ID of Azure Tenant>