Reddit mentions of Microsoft SQL Server 2012 High-Performance T-SQL Using Window Functions (Developer Reference)

Window functions, not windows function. The idea is that it applies the function over a "window" of the rows in the dataset. They are very useful for solving complicated source data problems. Check out this book for many examples (ignore the SQL Server 2012,it's so highly useful and relevant on any version of SQL Server that supports them). I highly recommend anything by Itzik Ben-Gan for SQL, and anything by Andy Leonard for SSIS, and Marco Russo, Alberto Ferrari, Chris Webb for DAX / SSAS (even OLAP).

https://www.amazon.com/dp/0735658366/ref=cm_sw_r_cp_awdb_t1_-NtwCbKA67Y7W

10 years of BI experience here... I would say that BI covers a huge range of topics and the questions they asked may be relevant, but I would focus more on how the interviewee goes about finding solutions rather than wrote knowledge. You can be book smart but not know how to think and how to break down complex problems into solvable pieces.

I recently hired a guy that knew all about dimensional modeling and a good bit about SSIS. He interviewed excellent and seemed like a good fit. Two days in, I regretted the hire because his attention to detail was non-existent and his ability to solve problems matched that of a goldfish. Lesson learned and now I ask different types of interview questions, more of a scenario based interview rather than a technical pop-quiz.

Keep learning and don't let this interview get you down. If you show that you have a passion for solving difficult puzzles then you will find a place in BI.

Also... It sounds like a DBA gave you the technical interview. Brush it off and keep moving. ;)