Fortunately enough Microsoft makes it pretty easy to get to their financial data. Some data even goes back as far as 1992 (e.g. cost and operating expenses and all the key financials like revenue and net income).
A particular interesting chart is Microsoft’s revenue by main segments which starts at the first quarter of 2002. You may find the legend a bit hard to read because of the 13 assets in total. As you can see Microsoft considerably changed their revenue reporting scheme as of the third quarter of 2012. I tried to map the old segments to the new ones, but this is not possible (read Horace Dediu’s article The newly integrated company for further information).
Xbox unit sales
One thing that took a considerable amount of time was getting the data of Xbox unit sales. I had to check multiple sources for nearly every single quarter. Long story short: I did the work, so you don’t have to do it anymore.