Applied through my school, had a phone interview and then was flown up to New York for their final round. Phone interview just consisted of asking what I knew about Bloomberg, my background, and what newspapers/magazines I read on a regular basis. Final round consisted of all of the candidates sitting in a room where they gave us a demo of the Bloomberg system. During the interview, asked some more behavioral questions and asked a few situation questions about stuff that could come up on the job. If you say that you've used the terminal before, they will follow up with questions about it, so be honest.