First of all, SSMS AKA Microsoft SQL Server Management application is just a management tool. To use Data Mining , you need to install SQL Server.
Which version of SQL Server have you installed?
For the versions before SQL Server 2017, you need to fully install SSAS - Analysis service to have data mining features.
For SQL Server 2017 and SQL Server 2019 , you need to install Machine Learning Service to have this feature.
Hope this helps a bit.