The process took 1 day. I interviewed at Microsoft in Feb 2012
Interview
30 minute interview (first round) - asked some basic behavioral questions (tell me about a project you've worked on, etc.), then one technical question - no actual coding, but really just to get a sense of how you think
I applied through college or university. The process took 1 day. I interviewed at Microsoft (Bellevue, WA) in Mar 2011
Interview
They put me up in nice hotel but actually switched my hotel at the last minute. There were about 4 45 min interviews with the Xbox connect team which we were randomly assigned to. 3 were technical (one about databases, one about C, one about some basic java algorithms) and 1 was goals/strengths oriented.
As has been stated before, they will really delve deep into anything that you say you "know" so make sure you know it