1] Aptitude Test: not too simple, not too hard, lil tricky..., high cutoff...
try practicing maths and analytic ques fast and accurate. core knowledge rarely required.
2] Case Study: A particular case will be given, along with data.., and on the facts, questions are asked..: a proper analyzing task...
3] Video Synthesis: A video clip from any movie (mostly Hollywood movies!) is shown. you have two write what you understood from that clip and not the description of it! (for me, a clip of Pursuit Of Happiness was shown!)
4] Group Discussion: Its a general round to see that the kid is not really a dumb! Talking and listening skills are seen obviously.. just get noticed, analyze the topic, speak effectively, and go pass the round!
5] Personal Interview: Its the imp one. the mu sigma people will ask you a lot of things, ranging from: about you, describe yourself, your academics, mathematics, puzzles, quizzes, situation, analogies, experiences in life, statistics, etc etc...
6] HR Round: its just a formality before you get selected. they just wanna know your smartness level, how u can tackle different situations and some little personal quest.,
one more thing: in all your process,, show them that you are worth something, you are desperate to crunch big numbers and you love analyzing.., prove them that you are interested and willing to work for them...
so just speak freely, have a confidence, smile, enjoy and tackle the obstacles, and GET SELECTED !!! B-)