The Data Mining Add-In for  Excel 2007 was created at first for the Analysis Services that shipped with SQL Server 2005 SP2 or the subsequent SQL Server 2008.  It will work with the Analysis Services that comes with the SQL Server 2008 R2.  It will also work with Excel 2010.  The version of Excel needs to be the 32-bit version.  You can have both PowerPivot for Excel 2010 and the Data Mining Add-in installed with the same Excel 2010.  PowerPivot works with either the 32 bit or the 64 bit version of Excel 2010.