SQL Server 2008 introduced a new feature called "data collector". You can setup data collections on multiple SQL Servers and have all such data collections update 1 common database called the management data warehouse. There are 2 types of data collection sets: cached or non-cached. Non-cached means the data collection and the upload to the management data warehouse occur at the same time. Cached means the 2 processes happen at different times. When you create a collection data set, you have to tell SQL Server what data to collect. You can define your own (i.e. create a custom data collection set), or pick from one of 3 system data collector sets pre-built in SQL Server:
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