The SQL Server 2005 Data Mining Add-ins for Office 2007 have finally released to web yesterday along with SP2 of SQL Server 2005. The DM team has done a great write-up on how to get the add-ins (and everything else necessary) and also a really nice whitepaper giving an overview of the tools.
While you're at it, you should check out the SP2 release of SQL Server 2005 - there are innumerable improvements to data mining and OLAP in Analysis Services that maybe I'll get around to numerating one of these days. Some notable are incredible OLAP calc performance increases and an interesting new DMX semantic.... I'll keep you guessing until I post again.
Enjoy the Addins and the rest of SP2! You're feedback is definately welcome!
update: Donald delivers a much more eloquent description of the value of the Add-ins