Here's a similar thread as yours:
http://social.msdn.microsoft.com/Forums/en/sqldatamining/thread/5c0299af-7074-4df8-bca3-b4f8af02165a
If you're referring to creating your own plug in algorithms, here's the tutorials:
http://www.sqlserverdatamining.com/ssdm/Home/Tutorials/tabid/57/Default.aspx
hth,
Rok
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