Microsoft SQL Server is a relational database management system that stores data in tabular format of columns and rows. It has four major components: the Database Engine for storing and retrieving data efficiently; Integration Services (SSIS) for extracting, transforming, and loading data from various sources into destinations; Analysis Services (SSAS) for creating multi-dimensional data structures and performing analysis and data mining; and Reporting Services (SSRS) for generating reports from different tables in various formats like PDF and maps. The SELECT statement is used to retrieve data and has clauses like FROM, WHERE, GROUP BY, HAVING, and ORDER BY. Proper use of filters and indexes in the WHERE clause is important for query performance.