Microsoft Research is one of the first companies that come to take interns from CSE. They come sometime around the beginning of September itself. They intimate the BC and he/she will let you know how to apply. They have 7 groups that do their selections independently. The groups include rigorous software engg, ADG, Cryptography, algorithms, multilingual systems, mobility networks, technology for emerging markets. You will be required to state your preference while applying, but in most cases the group heads will look and all the resumes and choose students irrespective of where you applied. You will get interview calls from all the groups that selected you. Some groups also need you to read papers and give a critique.
Make sure you are interested in the group that calls you for the interview, or you may spend your internship doing something you dont like, Another catch is that MSR is usually the first company to come for interns, and once you get selected, internship rules in CSE prevent you from abandoning the company. So you are committed to doing the internship. Make sure that a research intern is what you want to do before applying.
I was selected to work with the advanced development group, 2 weeks in december and 12 weeks during the summer.
This group mainly deals with taking research ideas and bringing them to life as products. This usually involves coding in C#. But this group is one of the most flexible groups in the sense, you can work on ideas from any other group. For eg. I worked almost completely with researcher from the algorithms group. You are also given an extensive list of projects to choose from based on what you are interested in. The projects involve some regular working but the mentors here understand that we are on vacation and do not pressurize too much. They just need work to be done, timings are flexible unless you have a meeting. You will meet around 50 other interns from all over the world. And you also have regular intern parties, or group outings etc. Another benefit is that interns get to participate in any workshop that takes place while they are here, and in the summer school conducted by MSR every year. Overall, the internship is fun and it helps you decide if research is your cup of tea or not.
Point to note : Contrary to what they claim on their webpage, they do not provide accommodation or provide transport facility for undergrad interns.