There are two new resources available for writing custom algorithms for SQL Server Data Mining

"Add Custom Data Mining Algorithms to SQL Server 2005" by our own Raman Iyer, provides an overview of the plug-in process, what you do and what you get, along with links to more technical resources.

Implementing Data Mining Algorithms in Microsoft® SQL Server™ by Claudio Luiz Curotto is an in-depth text on implementing algorithms for SQL Server 2000.