First, I was invited with other students to spend a day at the countryside in order to discover the company. We had a company presentation, a lunch and then an outdoor activity where teams of students compete against each other to win as much "money" as they can. It was quite relaxed and enjoyable.
Right after that, I applied online and was invited for my first interview. To prepare you to the interview, they invite you to their office with other candidates to talk about the process. The interview process is very specific to management consulting firms. First, you complete a reasoning test on a computer. It's much better to be prepared by doing questions from the GMAT for example. The time is quite thight, but if you know what to expect it's okay. Then you have the interview itself with a consultant, you will never be interviewed by an HR person. He starts by asking classical questions about your resume, but it was absolutely not in depth in my case. It lasted only 10 minutes. After that you have the case. It is very important to be well prepared, no one can succeed without a good preparation (do cases, practice mental calculation, develop reasoning tricks to structure your thoughts). The interviewer explains a classical consulting problem and you have to solve the situation. Don't be afraid to take notes, to ask something if don't understand, their goal is not to trap you, they just want to see how you reflect. Take time to think about what you say and try to formulate what you want clearly and with as few words as possible. Don't forget to sum up what you have said so far in 1 min from time to time.