在SQL Server 2008中有很多组件可以进行性能数据收集。为了设定收集数据的类型以及收集计划，数据收集器需要使用管理数据仓库。管理数据仓库也是一个关系型数据库，但在创建该数据库时很多默认设置需要进行修改，在我们后面的实验中将深入讨论。理想状态下，
在SQL Server 2008中有很多组件可以进行性能数据收集。为了设定收集数据的类型以及收集计划，数据收集器需要使用管理数据仓库。管理数据仓库也是一个关系型，但在创建该时很多默认设置需要进行修改，在我们后面的实验中将深入讨论。理想状态下，管理数据仓库最好和生产环境的数据库位于不同的上，以便实现更好的性能。
数据收集所针对的目标是SQL Server 的实例，每一个实例都有收集组与之相对应，其中收集组指特定的收集类型，例如磁盘和查询统计。数据收集依靠SQL Server Agent 或SSIS按照计划来执行，因此作业和计划都会存储在msdb数据库中。管理数据仓库的角色就是存储数据、一些聚合值、以及针对系统分析而生成的历史信息。
安装并配置管理数据仓库
1. 打开 SQL Server Management Studio.
依次点击Start | All Programs | Microsoft SQL Server 2008 | SQL Server Management Studio
2. SQL Server Management Studio 打开以后，在Connect to Server 对话框中，输入如下信息，然后点击Connect:
Server type: Database Engine
Server name: CHICAGO\CONFIGSERVER
Authentication: Windows Authentication
3. 在Object Explorer中，依次展开Management 和Data Collection.
4. 右键点击Data Collection 然后点击Configure Management Data Warehouse.
5. 点击Next.
6. 在配置Management Data Warehouse 时需要做两件事：创建SQL Server 数据库用于存储收集上来的数据计数;指定缓存文件夹，数据在加载到管理数据仓库之前会临时被缓存在这里。对于收集操作比较频繁的数据集，所收集的数据会在本地缓存，然后再批量导入到管理数据仓库，从而降低了网络负载并提高了数据收集时的性能。
7. 在Configure Management Data Warehouse Wizard 页面中，选择Create or upgrade a management data warehouse 然后点击Next.
8. 服务器名称会自动填写
注意：你必须有足够的权限，以便在服务器中创建管理数据仓库。更多详细信息，请参考SQL Server 2008 Books Online 中的CREATE DATABASE (Transact-SQL) 以及Data Collector Security 部分
9. 点击New新建管理数据仓库。
按照下图所示进行设置。即将数据库名称设置为ManagementDW：
10. 点击 OK 接收默认设置并创建ManagementDW 数据库。注意：即便在后面的步骤中取消向导，该数据库也将在该步骤中创建
11. 点击Next.
12. 在Map Users and Logins 对话框中将要设置管理数据仓库如何使用以及被谁所使用。在此实验中，我们将使用Administrator登陆帐号对数据仓库进行读写，该帐号已经对此数据库有了相应权限。在一些拥有多个DBA及操作员的复杂环境中，我们需要在此进行详细设置
13. 点击 Next.
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