Applied through the university recruiting portal. Had an on-campus interview that went very well, and was bumped directly to an on-site interview for the next round. (This was for the following summer as they had already filled positions for the current year. Disclaimer: my college is heavily recruited from.)

The on-site interview was very fun. I believe the only Microsoft development office in North America is currently in Redmond, and everyone I know who applies goes on-site there. I was flown in before the interview and given ample time to explore the Seattle area. You could request a car for the duration of your stay if you wished.

The on-site interview itself involved staying for 4 hours of interviewing (plus 1 hour for lunch) with a number of other interviewees, though all interviews were private. The atmosphere was relaxed, and I received a free hoodie at the end, which is always nice.

Expect the standard questions you would anticipate from an interviewer in a specific area. For example, if you're being interviewed by someone from Bing, you should know algorithms. If by Windows, expect systems questions.

These are very standard.