One real difficulty I encountered was getting the Data Mining Add-On to work. I have SQL Server Express 2008 R2 and downloaded the Data Mining App, installed it and it would show in Excel (tried in both 2010 and 2013) - but the app will not connect to my SQL Server instance, and soon Excel wants to disable the add-on.

I also have Visual Studio 2008, and it recognizes data mining but cannot create a useful sample to play with.

Finally, just to be safe I downloaded and re-installed the Adventureworks files (specific to Data Mining), can see them in Management Studio, but cannot do anything with them.... bummer.

[end or rant]