One of my favorite free courses of data mining is from StatSoft. You can find the tutorials on youtube. If you want to practice with StatSoft you can download a free 30 day trial version of there Statistica software on the StatSoft page.
There are 35 Sessions which give practical insight on how to apply data mining. I think that this a really good video series if you are at a beginners level because those very professionaly made videos focus on how data mining works in general and not only about how to use there software. After watching those 35 sessions you really get an idea how to do a whole data mining analysis from data cleaning to interpreting the results. The first two sessions give an overview about Data Mining and CRISP. The following sessions are about preparing the data and applying different DM techniques with the help of credit risk data and marketing data respectivly. So if you are a practical learner (and who is not) you should give it a try and just listen to the videos which are about 10 minutes each.
Here you can finde the topics of the videos.