I just got finished watching this web cast: http://msevents.microsoft.com/cui/WebCastEventDetails.aspx?EventID=1032289986&EventCategory=5&culture=en-US&CountryCode=US
It starts by defining what data mining is and what it isn't, and then presents several of the SQL Server 2005 Data Mining tools in a demonstration. I highly recommend viewing this if you are completely new to Data Mining.
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