Where is the Microsoft.Online.SharePoint.Client.Tenant.dll ?

You know...those things that were supposed to be easy to find...
If you are looking to create a site collection, manage sites, tenants permissions in Office 365 you will need to access this the Tenant class.
But it is not installed by default in your machine, nor it does come with Visual Studio 2012 or Visual Studio 2013. So how do you get it?

You need to download and install the SharePoint Server 2013 Client Components from MSDN.

After the installation is done, you will find it at C:\Program Files\SharePoint Client Components\Assemblies. Just add it to your project and off you go!
I hope I just saved you some precious time :-)