"The data collector is a component of SQL Server 2008 that collects different sets of data. Data collection either runs constantly or on a user-defined schedule. The data collector stores the collected data in a relational database known as the management data warehouse.

The data collector is a core component of the data collection platform for SQL Server 2008 and the tools that are provided by SQL Server. The data collector provides one central point for data collection across your database servers and applications. This collection point can obtain data from a variety of sources and is not limited to performance data, unlike SQL Trace"  MSDN

High Level Data Collection  Implementation Guide

At a high-level Data collection can be impleted by using this guide
1.  Configure a Management Datawarehouse
2. Configure Data Collection

Detailed Implementation Guideline for Configuring  Data collection

A.  Step by Step Guide for building Data Management Warehouse

Step 1. Configure DMW

Figure 1.  Configuring DMW in SQL Server 2012

Step 2. Management Datawarehouse Wizard

Step 3. Create DMW.

Step 4.

Step 5.

Step 6.

Step 7.

Step 8.

Step 9

B. Step by Step Guide for Configuring Data collection

Step 1.

Step 2

Step 3.

Step 4.

Step 5.