The structure of a colloidal suspension under shear flow was studied by in situ small angle neutron scattering (SANS). This suspension exhibited shear thinning at low shear rates and shear thickening at high shear rates. Under quiescent conditions, the SANS profiles were azimuthally symmetric and contained a well-defined scattering maximum. This is due to local, liquidlike correlations between neighboring particles. Increasing shear rate lead to changes in the interparticle correlations. These changes are quantified by obtaining the anisotropic structure factor of the suspension under shear flow. We found an increased probability for the formation of inter-particle clusters in the gradient-vorticity plane. This results in an increase in the low angle scattering intensity in the flow direction, and the scattering peak, observed under quiescent conditions, is reduced to a shoulder. We found no evidence for a shear-induced phase transition in our experimental window. At low shear rates ((gamma)over dot), the microstructure is relatively insensitive to shear rate. On the other hand, a pronounced shear rate dependence of microstructure is observed when (gamma)over dot approximate to 1/tau, where tau is the characteristic time for the decay of concentration fluctuations. Dynamic light scattering was used to measure tau. The onset of shear thickening occurs when (gamma)over dot tau is of order unity suggesting an intimate relationship between quiescent dynamics, and shear-induced microscopic and macroscopic changes.