After installing SQL Server Data Mining Add-ins for Office, I was attempting to use some of the table analysis functionality it provides and ran into an error that said "Error (Data mining): Session mining objects (including special data source views used to process data mining dimensions) cannot be created on this instance". Wow, what a helpful error message!

It turns out, in order to use the analysis tools like forecast, highlight exceptions, detect categories, analyze key influencers, scenario analysis, fill from example, etc. ... you have to configure the SQL server to allow creation of temporary mining models (aka "session mining objects"). Ahh ... the cryptic error message makes a little more sense now.
Here is how you fix it:
- Go to Start Menu > All Programs > Microsoft SQL 2008 Data Mining Add-ins > Server Configuration Utility

- The utility will walk you through a few simple steps, but this step is the one that really addresses this issue. It explains a little more about these temporary/session models.

That's it. After you finish the wizard, you should be able to run the model.
NOTE: If you created a new database for add-in users in step 3 of the configuration tool, you will obviously have to change the Analysis Services connection in Excel to point to that new database before this will work.