I also applied for the internship but didn't make the final cut.  But here's what I did go through:

I was at BYU, applying during my Junior year (February '03 for Summer '03).   I applied for a Software Design Engineer position.  I have to confess that at the time, I was good at CS classes in school but did very little computer stuff outside of class and I was not current in new programs, technologies, etc.

We had Microsoft representatives on campus, and we could sign up for a 30-min interviews.  It was entirely technical, coding questions that I had to work out to fill that time.  I thought it was hard and I was flustered, but I guess I did well enough that I passed that round. 

I don't remember for sure, I think there was a phone interview after that but it was a few years ago.  End result, I was offered an in-person interview at Microsoft campus in Redmond.

I thought it was fantastic - they flew me there, got me a rental car, and a hotel.  I stayed for 3 days and had my interview on the last day.  I saw Seattle, did the Space Needle, aquarium, etc.  It is certainly the best I have ever been treated at any interview.

On the day of the interview, I came in and first met with the HR person who was in charge of scheduling and orienting me.  Then she sent me to my first interview.  He was from a team doing something with XML (but I wasn't really educated about it at the time so I didn't know what exactly they did).  I also remember that he was German. (One of the first things I noticed on Microsoft campus was the incredible national diversity there.)  He was very intense, asking problem-solving type questions.  One was a classic version of the "moving things across the river with a boat that can only hold so much" problem.  Another was "How would you make a laptop for astronauts?" 

The second interview was over lunch with a Russian guy (again, people from all over the world there).  He was also from the XML team, which wasn't very heartening.  He was curious and spoke very quietly, which was difficult becasue we were in the cafeteria.  We spoke more about products and technologies, which was less flustering than the problem-solving questions, but I was also not well versed in technologies so it was kind of a wash.

The third and final interview was with a guy (American) from the Outlook team.  He was very relaxed and made me feel very comfortable.  I felt that I intervied much better that time because I was more comfortable. 

I imagane that's part of why they give you so many different kinds of interviews with different people in different places.  It gives them an idea of what situations you thrive in and which are difficult for you.   Also, I don't know if Misrosoft takes international interns (or has interns in its development centers in other countries), but it seems like nationality, language, etc is not an issue.  They value brains, brains, brains!  I wish that I could have had the internship there because it would have been a great experience, but things worked out just fine anyway.  The interviews are a good experience regardless of whether you get the internship, and you can turn it into a nice little vacation too.