I interviewed twice for interning, turned down both times. Got some industry experience doing real win32 work then applied for a full time and got it.
My tips: Know how COM works, be able to debug it, understand how to make objects script accessible, etc. Be able to write apps w/ GDI calls.
Maybe it goes without saying, but it really helps if you work on a product similar to an MS product and then apply to work on that specific product.
My advice is for a dev. I don't know anything about getting hired in test or PM. I don't know anyone who was ever turned down for the test or PM positions which is weird when I think about it. I do know lots of people who were not given dev positions.
There's also the orange badge route which I'm not even close to an expert on. Supposedly contractors make a wage equitable to full time, with some extra to cover the absence of full time benefits. You do get the temporary ban hammer after a year if you don't
get hired. I don't know the conversion rate, but I hear it's low.