Microsoft has dubbed SQL 2008 R2 as the BI release.
MS-BI 2008 R2 Online Training
In customer scenarios with the requirement to integrate data out of SAP BW with some non-SAP data sources people usually recommended to first consolidate and load everything into a single system ( either SAP BW or SQL Server / SSAS ).
What you will learn
Any kind of reporting or data analysis would then go against SAP BW or the SQL Server/SSAS based data mart. There are some pros and cons with this approach. Especially query performance would be very likely better in case the data would be persisted in a central “single-point-of-truth” compared to a kind of distributed query which has to access and join multiple data sources. But extracting data from SAP BW and persist it in SQL Server or SSAS has some challenges too ( e.g. mapping of BW roles, data redundancy, synchronization between both systems … ).