For Microsoft Data Mining you need to purchase the Enterprise or the Business Intelligence Editions.
Not any more. Now Developer Edition is free for 2014 and 2016. This was announced on March 31st. 😉
"I cant stress enough the importance of switching from a sequential files mindset to set-based thinking. After you make the switch, you can spend your time tuning and optimizing your queries instead of maintaining lengthy, poor-performing code."