Every database supports data mining. Handling large amounts of structured data is what databases do!
First learn SQL which is useful in many applications and databases.
Then, if you find stuff you can't solve with SQL, you can turn to:
- Reporting services: to create fancy reports
- Analysis services: to analyse truly gigantic amounts of data (if you're thinking in millions of rows, Analysis server is overkill)
- Integration Services: import from non Sql Server sources, automate tasks, combine queries graphically
These are Sql Server specific, and not as useful in every BI scenario.