I saw the intern information on my university career net and applied through Morgan Stanley website. Then they invited me to attend their written exam. It contain math, finance, and programming questions. About 60-70 questions, and you have one hour to finish it. The math part contains basic math and stochastic calculus. Finance part contains bonds, options and other derivatives. Programming part, you can choose to answer c++ or java. Then I got an phone interview. One guy asked something about my resume. And asked me soem technical questions. And when it came as my first interview, I was too nervous to answer it well.