I applied directly online at Bloomberg's career website. Heard back the next day to schedule a phone interview (great HR!). The interviewer was very nice and sounded enthusiastic about the company and what it does. She started off asking about what I know about Bloomberg, the position, and why do I want to work for Bloomberg. Lets me stress again: What do you know about Bloomberg, what do you know of this position, and WHY DO YOU WANT TO WORK FOR THEM. She than asked pretty specific questions off my resume; how my previous experiences applies to the position, if I had any previous sales experience how did I managed a difficult client, and why I quit my previous position. She didn't ask me any of the usual interview questions, she pretty much led the entire interview, so your mileage may vary.
You have to convince her why you want to work for Bloomberg and why you want to work in Sells. I wasn't very enthusiastic about being a sells person as this program apparently is a dead end from what I hear.