Hi, a data warehouse is a database which stores large amounts of stable, historical data; which are used for analysis and reporting. When creating a data warehouse using SQL Server, it is just a regular database that you have to create using the database engine, except that you would design it different from how you would design a (regular) OLTP database. The database design for a data warehouse would typically be designed using the dimensional model rather than the ER model (which is used for OLTP databases). This design results in a very simple database which is optmized for fast data retrieval to aid in analysis and reporting.
Once your data warehouse is done, it can be populated with data from various sources such as OLTP systems, Spreadsheets from Account departments, Text files from legacy systems etc. The data that comes from these sources would have to be first cleaned before loading onto the data warehouse. This can be performed using an ETL platform such as SQL Server Integration Services (SSIS).
The next step can be creating OLAP (Online Analytical Processing) databases using SQL Server Analysis Services. Here we create databases which are multidimensional in structure. These OLAP databases will be sourced by the data warehouse that was created earlier. Using the OLAP databases users can perform analysis and data mining to find out trends and patterns in the data. For this they can use SQL Server Reporting Services reports and Microsoft Excel as client tools. Also MDX (Multidimensional Expresssions) can be used to query and mine from these OLAP databases.
Reporting Services reports can also be used for querying data directly from the data warehouse, though you cannot use MDX on the data warehouse. There aren't any DMQLs for SQL Server, so you would have to use T-SQL for querying from the data warehouse. Which is why it is much more productive to use Analysis Services for analysis and data mining needs.
Hope this little introduction was informative enough. Also, there are lots of articles out there which have lot of info on designing data warehouses etc.
Cheers
Gogula G. Aryalingam (MVP - SQL Server)