Create a Custom Collection Set That Uses the Generic T-SQL Query Collector Type

http://msdn.microsoft.com/en-us/library/bb677277.aspx

Data Collection Terminology

http://msdn.microsoft.com/en-us/library/bb677279.aspx

SQL Server 2008 Management Data Warehouse

http://msdn.microsoft.com/en-us/library/dd939169(SQL.100).aspx