Window functions in SQL Server 2005 have nothing to do with Microsoft Windows; rather, they create data windows. Window functions enable you to look at different levels of aggregation all at once, making it very easy to retrieve cumulative sums, move averages, and perform other calculations.
Useful Link with Samples on Same :
http://www.sqljunkies.com/HowTo/4E65FA2D-F1FE-4C29-BF4F-543AB384AFBB.scuk
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